Rolling Statistics
Computes rolling mean, min, max and median for a 'timeSeries' object.
rollStats(x, k, FUN=mean, na.pad=FALSE,
align=c("center", "left", "right"), ...)
rollMean(x, k, na.pad = FALSE,
align = c("center", "left", "right"), ...)
rollMin(x, k, na.pad = FALSE,
align = c("center", "left", "right"), ...)
rollMax(x, k, na.pad = FALSE,
align = c("center", "left", "right"), ...)
rollMedian(x, k, na.pad = FALSE,
align = c("center", "left", "right"), ...)x |
an uni- or multivariate 'timeSeries' object. |
k |
an integer width of the rolling window. Must be odd for
|
FUN |
the function to be rolled. |
na.pad |
a logical flag. Should NA padding be added at beginning?
By default |
align |
a character string specifying whether the index of the
result should be left- or right-aligned or centered
compared to the rolling window of observations. The
default choice is set to |
... |
optional arguments to be passed. |
The code in the core of the functions rollMean, rollMin,
rollMax, and rollMedian was borrowed from the package
zoo authored by Achim Zeileis, Gabor Grothendieck and
Felix Andrews.
returns an object of class 'timeSeries'.
Achim Zeileis, Gabor Grothendieck and Felix Andrews
for code from the contributed R package zoo used in the functions
rollMean, rollMin, rollMax, and rollMedian.
## Use Swiss Pension Fund Data Set of Returns - head(LPP2005REC) SPI <- LPP2005REC[, "SPI"] head(SPI) ## Plot Drawdowns - rmean <- rollMean(SPI, k = 10) plot(rmean)
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