calculate a function over an expanding window always starting from the beginning of the series
A function to calculate a function over an expanding window from the start of the timeseries. This wrapper allows easy calculation of “from inception” statistics.
apply.fromstart(R, FUN = "mean", gap = 1, ...)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
FUN |
any function that can be evaluated using a single set of returns
(e.g., rolling beta won't work, but |
gap |
the number of data points from the beginning of the series required to “train” the calculation |
... |
any other passthru parameters |
Peter Carl
data(managers) apply.fromstart(managers[,1,drop=FALSE], FUN="mean", width=36)
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