[R] Moving standard deviation?

Martin Maechler maechler at stat.math.ethz.ch
Tue Dec 14 11:46:47 CET 2004

>>>>> "bogdan" == bogdan romocea <br44114 at yahoo.com>
>>>>>     on Mon, 13 Dec 2004 12:26:46 -0800 (PST) writes:

    bogdan> A simple for loop does the job. Why not write your own function?

     movsd <- function(series,lag)
     movingsd <- vector(mode="numeric")
     for (i in lag:length(series))
	     movingsd[i] <- sd(series[(i-lag+1):i])

    bogdan> This is very efficient: it takes (much) less time to write from
    bogdan> scratch than to look for an existing function.

yes, it's fine, but the assign() line is really something so
much not-recommendable `` I can't let go through '' :

Your  movsd() provides a function with ``side effect'' : it
"suddenly" creates a global variable 'movingsd' {overwriting
another one, if there was one} instead of doing
the most natural thing for an S (or R) function:  *return* it's

So, please, use instead something like

     movsd <- function(series,lag)
	msd <- vector(mode="numeric")
	for (i in lag:length(series))
		msd[i] <- sd(series[(i-lag+1):i])

and then things like

    sy1.3 <- movsd(y1, 3)
    sy1.5 <- movsd(y1, 5)
    sy2.5 <- movsd(y2, 5)


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