an integer width of the rolling window. Must be odd for
rollMedian.
FUN
the function to be rolled.
na.pad
a logical flag. Should NA padding be added at beginning?
By default FALSE.
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 align="center".
...
optional arguments to be passed.
Author
Achim Zeileis, Gabor Grothendieck and Felix Andrews for code from the
contributed R package zoo used in the functions
rollMean, rollMin, rollMax, and rollMedian.
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.
## Use Swiss Pension Fund Data Set of Returns - head(LPP2005REC)
SPI <- LPP2005REC[, "SPI"]
head(SPI)
## Plot Drawdowns - rmean <- rollMean(SPI, k = 10)
plot(rmean)