rollMean {timeSeries} | R Documentation |
Rolling statistics
Description
Computes rolling mean, min, max and median for a "timeSeries"
object.
Usage
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"), ...)
Arguments
x |
an uni- or multivariate |
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. |
Details
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.
Value
an object of class "timeSeries"
.
Author(s)
Achim Zeileis, Gabor Grothendieck and Felix Andrews
for code from the contributed R package zoo
used in the functions
rollMean
, rollMin
, rollMax
, and rollMedian
.
Examples
## Use Swiss Pension Fund Data Set of Returns -
head(LPP2005REC)
SPI <- LPP2005REC[, "SPI"]
head(SPI)
## Plot Drawdowns -
rmean <- rollMean(SPI, k = 10)
plot(rmean)