R: Analysis of Running/Rolling/Moving Windows

runSum {TTR} | R Documentation

## Analysis of Running/Rolling/Moving Windows

### Description

Various functions to analyze data over a moving window of periods.

### Usage

    runSum(x, n = 10, cumulative = FALSE)

    runMin(x, n = 10, cumulative = FALSE)

    runMax(x, n = 10, cumulative = FALSE)

    runMean(x, n = 10, cumulative = FALSE)

    runMedian(x, n = 10, non.unique = "mean", cumulative = FALSE)

    runCov(x, y, n = 10, use = "all.obs", sample = TRUE, cumulative = FALSE)

    runCor(x, y, n = 10, use = "all.obs", sample = TRUE, cumulative = FALSE)

    runVar(x, y = NULL, n = 10, sample = TRUE, cumulative = FALSE)

    runSD(x, n = 10, sample = TRUE, cumulative = FALSE)

    runMAD(x, n = 10, center = NULL, stat = "median", constant = 1.4826,
      non.unique = "mean", cumulative = FALSE)

    wilderSum(x, n = 10)

### Arguments

`x` | Object coercible to xts or matrix.
`n` | Number of periods to use in the window or, if `cumulative=TRUE`, the number of obversations to use before the first result is returned.
`cumulative` | Logical, use from-inception calculation?
`non.unique` | One of 'mean', 'max', or 'min'; which compute their respective statistics for the two middle values of even-sized samples.
`y` | Object coercible to xts or matrix.
`use` | Only `"all.obs"` currently implemented.
`sample` | Logical, sample covariance if `TRUE` (denominator of `n-1`)
`center` | The values to use as the measure of central tendency, around which to calculate deviations. The default (`NULL`) uses the median.
`stat` | Statistic to calculate, one of 'median' or 'mean' (e.g. median absolute deviation or mean absolute deviation, respectively.)
`constant` | Scale factor applied to approximate the standard deviation.

### Value

A object of the same class as `x` and `y` or a vector (if `try.xts` fails).

runSum

  returns sums over a n-period moving window.

runMin

  returns minimums over a n-period moving window.

runMax

  returns maximums over a n-period moving window.

runMean

  returns means over a n-period moving window.

runMedian

  returns medians over a n-period moving window.

runCov

  returns covariances over a n-period moving window.

runCor

  returns correlations over a n-period moving window.

runVar

  returns variances over a n-period moving window.

runSD

  returns standard deviations over a n-period moving window.

runMAD

  returns median/mean absolute deviations over a n-period moving window.

wilderSum

  retuns a Welles Wilder style weighted sum over a n-period moving window.

### Author(s)

Joshua Ulrich

[Package TTR version 0.23-1 Index]