[R-SIG-Finance] Applying function on rolling window basis ** not rollapply() function in zoo
Brian G. Peterson
brian at braverock.com
Tue Jan 4 14:41:14 CET 2011
On 01/04/2011 07:52 AM, Bogaso Christofer wrote:
> I was trying the example given in apply.rolling() function, however it is
> not that what I wanted. Let me simulate it here:
> What I wanted to have is (0.0074+0.0193+0.0155)/3,
> (-0.0091+0.0076+-0.0039)/3 (with window size 3) etc... Do I need to put any
> further argument in that function?
apply.rolling will use a fixed width and *roll* which is what you
subject says you want.
will apply on a endpoints(time)-based period, like days, months, and
years, using 'periodicity' in xts. so, quarterly mean, for example,
would be period.apply with endpoints on quarters or use apply.quarterly.
With period.apply, you can also send in a vector of endpoints, which
can be arbitrary.
So, I think I already gave you all the information you need to do what
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