[R] How to do a moving window on standard deviation

[jim holtman]

How about considering 'embed':

> d
        Date Close
1 2011-01-28 56.42
2 2011-01-27 57.37
3 2011-01-26 56.48
4 2011-01-25 56.39
5 2011-01-24 55.74
6 2011-01-21 55.46
> x <- embed(d$Close, 4)
> x
      [,1]  [,2]  [,3]  [,4]
[1,] 56.39 56.48 57.37 56.42
[2,] 55.74 56.39 56.48 57.37
[3,] 55.46 55.74 56.39 56.48
> apply(x, 1, sd)
[1] 0.4714870 0.6700497 0.4968149
>


On Sun, Jan 30, 2011 at 2:39 PM, eric <ericstrom at aol.com> wrote:
>
> I'd like to use vectorization to take a 4 point moving window on standard
> deviation on the close column and create another variable (st.dev) in the
> dataframe. Here's the dataframe
>
>
> head(xyz)
>        Date Close
> 1 2011-01-28 56.42
> 2 2011-01-27 57.37
> 3 2011-01-26 56.48
> 4 2011-01-25 56.39
> 5 2011-01-24 55.74
> 6 2011-01-21 55.46
>
> So the first 3 elements to the new st.dev column would be zero (c(rep(0,3)),
> then the 4th element of the new std.dev column would be standard deviation
> of the first 4 closes. Next element would be sd of Close[5]:Close[1], then
> sd of Close[6]: Close[2] ...and so on until the last row of xyz.
>
> There must be an easy vetorized way to do this but I don't see it. Sorry for
> the basic question but continuing to figure this new language out.
>
> Thanks in advance for the help
>
> --
> View this message in context: http://r.789695.n4.nabble.com/How-to-do-a-moving-window-on-standard-deviation-tp3247566p3247566.html
> Sent from the R help mailing list archive at Nabble.com.
>
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>



-- 
Jim Holtman
Data Munger Guru

What is the problem that you are trying to solve?