[R] Bollinger Bands
Gabor Grothendieck
ggrothendieck at myway.com
Mon Nov 24 17:28:35 CET 2003
I assume you are looking to apply some function, f, over the
last k points of your time series for each point in the
series (except for the first k-1 points).
Let z be a vector that represents your time series. Then
the j-th column of
zl <- matrix(c(z,NA),length(z),k)[-seq(k-1),] # ignore warning
is z lagged by j-1. Now apply f to the rows:
apply(zl,1,f)
---
Date: Mon, 24 Nov 2003 15:19:10 +0000
From: <Arnaud_Amsellem at ssga.com>
To: <r-help at stat.math.ethz.ch>
Subject: [R] Bollinger Bands
Is there a way to create Bollinger Bands without having to loop on the
observations of a time serie?
Any help appreciated
Thanks
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