search for: mymedians

Greetings, Can anyone suggest me if we can vectorize the following problem effectively? I have two datasets, one dataset is portfolio of stocks returns on a historical basis and another dataset consist of a bunch of factors (again on a historical basis). I intend to compute a rolling n-day sensitivitiesfor each stock for each factor, so the output will be a data frame with

Folks, I have the following code, that works fine on smaller data sets. For larger datasets, it runs out of memory and runs way too slow because we are essentially creating large vectors with rep() and then calling median() on it. (I learned this approach from a post on the web). Below that, I have written the corresponding SAS code. The SAS code works fast because I can just tell the proc