runFun {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)

Arguments

x Object coercible to xts or matrix.
y 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?
sample Logical, sample covariance if TRUE (denominator of n-1)
use Only "all.obs" currently implemented.
non.unique One of 'mean', 'max', or 'min'; which compute their respective statistics for the two middle values of even-sized samples.
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.

Author(s)

Joshua Ulrich


[Package TTR version 0.20-1 Index]