[R] Running mean in R?
Warnes, Gregory R
gregory_r_warnes at groton.pfizer.com
Tue Mar 5 13:47:47 CET 2002
> From: Reto Burkard [mailto:burkard at giub.unibe.ch]
> ...
> Is there an easy function available in R for calculating the running
> mean?
If you just need the mean calculated over all previous elements of a vector,
use
cumsum(x)/seq(along=x)
Make sure and remove missing values first!
If, on the other hand, you want the mean calculated over a fixed number of
previous points use this function from the soon-to-be released version of
the gregmisc library:
############ running.R
"running" _ function( X, fun=mean, width=min(length(X),20),
allow.fewer=FALSE,...)
{
n _ length(X)
from <- sapply( (1:n) - width + 1, function(x) max(x,1) )
to <- 1:n
elements <- apply(cbind(from,to), 1,function(x) seq(x[1], x[2]) )
if(is.matrix(elements))
elements <- as.data.frame(elements)
funct _ function(which,what,fun,...) fun(what[which],...)
Xvar _ sapply(elements, funct, what=X, fun=fun, ...)
names(Xvar) <- paste(from,to,sep=":")
if(!allow.fewer)
Xvar[1:(width-1)] <- NA
return(Xvar)
}
############# help page
running package:gregmisc R Documentation
Apply a Function Over Adjacent Subsets of a Vector
Description:
Applies a function over subsets of the vector formed by taking a
fixed number of previous points.
Usage:
running(X, fun=mean, width=min(length(X),20), allow.fewer=FALSE,...)
Arguments:
X: data vector
fun: function to apply. Default is `mean'
width: integer giving the number of vector elements to include in
the subsets. Defaults to the lesser of the length of the
data and 20 elements.
allow.fewer: Boolean indicating whether the function should be computed
for initial subsets with fewer than `width' points
...: parameters to be passed to `fun'
Value:
Vector containg the results of applying the function `fun' to the
subsets.
Author(s):
Gregory R. Warnes Gregory_R_Warnes\@groton.pfizer.com
Examples:
running(1:20,width=5)
plot(1:20, running(1:20,width=5))
plot(1:20, running(1:20,width=5, allow.fewer=T))
# plot running mean and central 2 standard deviation range
# estimated by last 40 observations
dat <- rnorm(500, sd=1 + (1:500)/500 )
plot(dat)
fun <- function(x,sign=1) mean(x) + sign * sqrt(var(x))
lines(running(dat,width=50,fun=mean,allow=T),col="blue")
lines(running(dat,width=50,fun=fun, sign=-1, allow=T),col="red")
lines(running(dat,width=50,fun=fun, sign=1, allow=T),col="red")
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