[RsR] Fwd: smart updates and rolling windows

[Bradford Cross]

Greetings R'ers!

I have been looking for mathematics libraries for event stream processing /
time series simulation.  Mathematics libraries for event stream processing
require two key features; 1) "smart updates" (functions use optimal update
algorithms, f.ex. once mean is calculated for an event stream, the
subsequent calls to the function are computed using previous values of mean
rather than by brute force re-calculation), 2)  "rolling calculations"
(functions take a lag parameter for sample size, f.ex. mean of last 100
events.)

I found a couple simple summary statistics implemented like this in the zoo
package.  I have also found implementations for smart updates in some other
languages (apache commons math, and BOOST accumulators) but these only
supports accumulated calculations, not rolling calculations.

I have built libraries for this before, and I am currently working on a new
version - but before I reinvent the wheel I am trying to find some folks in
the community with similar interests to collaborate with.

My personal use for this is financial time series analysis, so I am
interested in  implementing these high-performance algorithms for classical
statistics, robust statistics, regression models, etc.

Best!

/brad

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