[R] Rolling range and regression calculations

[Gabor Grothendieck]

> library(zoo)
> z <- zoo(101:110)
> rollapply(z, 3, min)
  2   3   4   5   6   7   8   9
101 102 103 104 105 106 107 108
> rollapply(z, 3, max)
  2   3   4   5   6   7   8   9
103 104 105 106 107 108 109 110
> rollapply(z, 3, range)

2 101 103
3 102 104
4 103 105
5 104 106
6 105 107
7 106 108
8 107 109
9 108 110


On Fri, Jul 25, 2008 at 1:10 PM, rcoder <mpdotbook at gmail.com> wrote:
>
> You mean embedding something like a range() function in a rollapply function?
> I'm just not sure how it will handle outputting max and min values in
> sequence and in the correct columns.
>
>
>
>
> stephen sefick wrote:
>>
>> how about rollapply in the zoo package?
>>
>> On Fri, Jul 25, 2008 at 8:37 AM, rcoder <mpdotbook at gmail.com> wrote:
>>
>>>
>>> Hi Achim,
>>>
>>> Thanks for your reply. rollmean and rollmax functions exist, but is there
>>> anything for returning the minima on a rolling basis? I know there is no
>>> rollmin in the zoo library.
>>>
>>> Thanks,
>>>
>>> rcoder
>>>
>>>
>>>
>>> Achim Zeileis wrote:
>>> >
>>> > On Thu, 24 Jul 2008, rcoder wrote:
>>> >
>>> >> Hi everyone,
>>> >>
>>> >> I want to calculate a min and max (i.e. range) on a rolling time frame
>>> of
>>> >> 50
>>> >> periods for a matrix with the number of periods extending along the
>>> row
>>> >> direction. So for 300 periods, there will be 6 time frame windows per
>>> >> column, and 6 min max pairs. I then want to o/p these pairs to a
>>> separate
>>> >> matrix.
>>> >>
>>> >> On a separate matter, I have a matrix containing data on which perform
>>> a
>>> >> regresssion over a rolling time period. Is there a convenient way I
>>> can
>>> >> do
>>> >> this for each column, and then save the gradient to an o/p matrix?
>>> >
>>> > Look at the package "zoo", specifically the examples on the manual
>>> pages
>>> > of ?rollapply and ?aggregate.zoo. These should be helpful in doing what
>>> > you want. The package vignettes have further worked examples.
>>> >
>>> > hth,
>>> > Z
>>> >
>>> >> Thanks,
>>> >>
>>> >> rcoder
>>> >> --
>>> >> View this message in context:
>>> >>
>>> http://www.nabble.com/Rolling-range-and-regression-calculations-tp18643465p18643465.html
>>> >> Sent from the R help mailing list archive at Nabble.com.
>>> >>
>>> >> ______________________________________________
>>> >> R-help at r-project.org mailing list
>>> >> https://stat.ethz.ch/mailman/listinfo/r-help
>>> >> PLEASE do read the posting guide
>>> >> http://www.R-project.org/posting-guide.html
>>> >> and provide commented, minimal, self-contained, reproducible code.
>>> >>
>>> >>
>>> >
>>> > ______________________________________________
>>> > R-help at r-project.org mailing list
>>> > https://stat.ethz.ch/mailman/listinfo/r-help
>>> > PLEASE do read the posting guide
>>> > http://www.R-project.org/posting-guide.html
>>> > and provide commented, minimal, self-contained, reproducible code.
>>> >
>>> >
>>>
>>> --
>>> View this message in context:
>>> http://www.nabble.com/Rolling-range-and-regression-calculations-tp18643465p18650915.html
>>> Sent from the R help mailing list archive at Nabble.com.
>>>
>>> ______________________________________________
>>> R-help at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>> PLEASE do read the posting guide
>>> http://www.R-project.org/posting-guide.html
>>> and provide commented, minimal, self-contained, reproducible code.
>>>
>>
>>
>>
>> --
>> Let's not spend our time and resources thinking about things that are so
>> little or so large that all they really do for us is puff us up and make
>> us
>> feel like gods. We are mammals, and have not exhausted the annoying little
>> problems of being mammals.
>>
>> -K. Mullis
>>
>>       [[alternative HTML version deleted]]
>>
>> ______________________________________________
>> R-help at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>>
>>
>
> --
> View this message in context: http://www.nabble.com/Rolling-range-and-regression-calculations-tp18643465p18655895.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>