Rmetrics availalble from www.rmetrics.org has implemented several R
functions
which deal with column statistics, row statistics and rolling analysis.
Diethelm Wuertz
David Brahm wrote:
>Mark Leeds wrote (to S-News):
>
>
>>does anyone know the R equivalent of the SPlus rowVars function ?
>>
>>
>
>Andy Liaw replied:
>
>
>>More seriously, I seem to recall David Brahms at one time had created an R
>>package with these dimensional summary statistics, using C code. (And I
>>pointed him to the `two-pass' algorithm for variance.)
>>
>>
>
>Here are the functions that didn't make it into R's base package, which should
>be very similar to the S-Plus functions of the same names. The "twopass"
>argument determines whether Andy's two-pass algorithm (Chan Golub & LeVegue) is
>used (it's slower but more accurate). In real life I set the "twopass" default
>to FALSE, because in finance noise is always bigger than signal.
>
>I am cc'ing to R-help, as this is really an R question.
>
>
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