TTR (version 0.2)

runSum: 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)
wilderSum(x, n = 10)

Arguments

x

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?

non.unique

One of 'mean', 'max', or 'min'; which compute their respective statistics for the two middle values of even-sized samples.

y

Object coercible to xts or matrix.

use

Only "all.obs" currently implemented.

sample

Logical, sample covariance if TRUE (denominator of n-1)

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). [object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]