apply.rolling

a vector, matrix, data frame, timeSeries or zoo object of asset returns

any function that can be evaluated using a single set of returns (e.g., rolling beta won't work, but <code><a href="/link/Return.annualized?package=PerformanceAnalytics&version=0.9.5" rd-options="" data-mini-rdoc="PerformanceAnalytics::Return.annualized">Return.annualized</a></code> will)

number of periods to apply rolling function window over

width

TRUE/FALSE If TRUE it adds any times that would not otherwise have been in the result with a value of NA. If FALSE those times are dropped.

na.pad

Creates a results timeseries of a function applied over a rolling window.<p></p><p>Wrapper function for <code><a href="/link/rollapply?package=PerformanceAnalytics&version=0.9.5&to=zoo" rd-options="zoo" data-mini-rdoc="zoo::rollapply">rollapply</a></code> to hide some of the complexity of managing single-column zoo objects.</p>

multivariate

models

distribution

Library of econometric functions for performance and risk analysis. This library aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams.  In general, this library is most tested on return (rather than price) data on a monthly scale, but most functions will work with daily or irregular return data as well.

apply.rolling: calculate a function over a rolling window

Description

Usage

Arguments

Value

concept

See Also