[R-SIG-Finance] rolling window

Brian G. Peterson brian at braverock.com
Thu Jul 19 14:55:19 CEST 2007

Gabor Grothendieck wrote:
> On 7/19/07, Jordi Molins <jordi.molins.coronado at gmail.com> wrote:
>> I want to do a rolling window calculation for multivariate data. In other
>> words: rollFun in fMultivar makes univariate calculations, ie, given for
>> example mydata[1:5], mydata[2:6], … I get one number (the function applied
>> to mydata[1:5]) every time. rollingFunction in PerformanceAnalytics does the
>> same but for possibly multivariate data, but one column at a time. rapply in
>> zoo also does rolling window for univariate data (at least, all examples are
>> with univariate data).
> rollapply (which was called rapply in old versions of zoo but was renamed
> to avoid collisions with a new function of the same name in the core of R)
> in zoo can handle multivariate zoo series either one column at a time (default)
> or combined (via by.column = FALSE):

the parameter '...' in rollingFunction() will allow you to pass in the 
by.column parameter described by Gabor.

   - Brian

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