[R] Rolling range and regression calculations

[Achim Zeileis]

On Thu, 24 Jul 2008, rcoder wrote:

> Hi everyone,
>
> I want to calculate a min and max (i.e. range) on a rolling time frame of 50
> periods for a matrix with the number of periods extending along the row
> direction. So for 300 periods, there will be 6 time frame windows per
> column, and 6 min max pairs. I then want to o/p these pairs to a separate
> matrix.
>
> On a separate matter, I have a matrix containing data on which perform a
> regresssion over a rolling time period. Is there a convenient way I can do
> this for each column, and then save the gradient to an o/p matrix?

Look at the package "zoo", specifically the examples on the manual pages 
of ?rollapply and ?aggregate.zoo. These should be helpful in doing what 
you want. The package vignettes have further worked examples.

hth,
Z

> Thanks,
>
> rcoder
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