runFun {TTR} | R Documentation |
Various functions to analyze data over a moving window of periods.
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)
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. |
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. |
Joshua Ulrich