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)

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.
wilderSum: retuns a Welles Wilder style weighted sum over a n-period moving window.

Arguments

x: Object coercible to xts or matrix.
n: Number of periods to use in the window or, if cumulative=TRUE, the number of observations to use before the first result is returned. Must be between 1 and nrow(x), inclusive.
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.

Author

Joshua Ulrich