[R] Multivariate apply.rolling()
Cren
oscar.soppelsa at bancaakros.it
Fri Jul 13 16:54:16 CEST 2012
# I've read that rollapply, and its wrapper apply.rolling()
# from PerformanceAnalytics package, do not work with multivariate
# time series neither their output can be a multivariate time series.
# Then I was wondering if any other function like those exists, or
# if I need to write my own function to perform multivariate
# time serie rolling analysis.
# Something like this:
# Let 'X' be your multivariate time series:
# output <- matrix(NA, ncol = ncol(X), nrow = nrow(X))
# width <- 199
# for(i in 1:(nrow(output) - width) {
# data <- X[i:(i + width),]
# output[i,] <- function(data)
#}
# rownames(output) <- rownames(as.timeSeries(X))
# ...and this should be a (probably not efficient) way to do it.
# Any better idea?
# Thanks,
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