[R] Zoo rolling window with increasing window size

[Joshua Ulrich]

Replace "sum" with your custom function's name.  I don't see any
reason why that wouldn't work, and the problem with my solution is not
clear in your response.

r <- rollapplyr(x, seq_along(x), yourCustomFunctionGoesHere)

On Thu, Aug 10, 2017 at 1:39 PM, Christofer Bogaso
<bogaso.christofer at gmail.com> wrote:
> Hi Joshua, thanks for your prompt reply. However as I said, sum()
> function I used here just for demonstrating the problem, I have other
> custom function to implement, not necessarily sum()
>
> I am looking for a generic solution for above problem.
>
> Any better idea? Thanks,
>
> On Fri, Aug 11, 2017 at 12:04 AM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
>> Use a `width` of integer index locations.  And you likely want =
>> "right" (or rollapplyr(), as I used).
>>
>> R> set.seed(21)
>> R> x <- rnorm(10)
>> R> rs <- rollapplyr(x, seq_along(x), sum)
>> R> cs <- cumsum(x)
>> R> identical(rs, cs)
>> [1] TRUE
>>
>>
>> On Thu, Aug 10, 2017 at 1:28 PM, Christofer Bogaso
>> <bogaso.christofer at gmail.com> wrote:
>>> Hi again,
>>>
>>> I am wondering there is any function for 'zoo' time series, where I
>>> can apply a user defined function rolling window basis, wherein window
>>> size is ever increasing i.e. not fixed. For example, let say I have
>>> below user defined function and a zoo time series :
>>>
>>>> library(zoo)
>>>
>>>> UDF = function(x) sum(x)
>>>
>>>> TS = zoo(rnorm(10), seq(as.Date('2017-01-01'), as.Date('2017-01-10'), by = '1 day'))
>>>
>>>>
>>>
>>> Now I want to apply UDF (this can be any custom function, however here
>>> I put it just quick example) rolling window basis like :
>>>
>>> 1st data point = 1st data point of TS
>>> 2nd data point = sum of 1st and 2nd data points of TS
>>> 3rd data point = sum of 1st 2nd and 3rd data points of TS
>>>
>>> so on
>>>
>>> I am aware of the rollapply() function from zoo, however, appears like
>>> it is only for fixed window size.
>>>
>>> Appreciate any pointer how to achieve above strategy of implementing
>>> rolling calculation based on increased window size.
>>>
>>> Thanks for your time.
>>>
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>>
>>
>>
>> --
>> Joshua Ulrich  |  about.me/joshuaulrich
>> FOSS Trading  |  www.fosstrading.com
>> R/Finance 2017 | www.rinfinance.com



-- 
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com
R/Finance 2017 | www.rinfinance.com