[R] Moving standard deviation?

Mulholland, Tom
Tue, 14 Dec 2004 01:47:03 -0000

Thanks for the hint on qcc. As for bollinger bands a generic porcess was put up
by Gabor Grothendieck.

http://finzi.psych.upenn.edu/R/Rhelp02a/archive/22367.html

You might also like to have a look at the Rmetrics (fBasics, fSeries etc),
in particular RollingAnalysis {fSeries}

Tom

> -----Original Message-----
> From: doktora v [mailto:doktora at gmail.com]
> Sent: Tuesday, 14 December 2004 2:46 AM
> To: Spencer Graves
> Cc: r-help at stat.math.ethz.ch
> Subject: Re: [R] Moving standard deviation?
>
>
> I have tried there but didn't find anything useful. Most of the
> matches are for functions which take a std dev input, and the
"moving"
> part of the query relates to something else (like moving average in
> the qcc package).
>
> Anyway, it's not too difficult to create the function, but I was
> wondering if anyone had done it before. Efficiency is a concideration,
> naturally.
>
> I'll post what i come up with...
>
> cheers
> dok
>
>
> On Mon, 13 Dec 2004 10:04:59 -0800, Spencer Graves
> <spencer.graves at pdf.com> wrote:
> >       A search for "moving standard deviation" at
www.r-project.org ->
> search -> "R site search" just produced 7 matches.  Please
look at those
> and let us know if none of those help you (and what you tried that
> didn't work).
>
>       spencer graves
>
> doktora v wrote:
>
> >Is there a simple function in R to get a moving standard deviation
> >(i.e. for the last x samples)?
> >
> >My goal is to plot bollinger bands around a moving average for price
> >data. I use kernel smoothing for the moving average.
> >
> >cheers and thanks!
> >over and out
> >-- doktora
> >
> >______________________________________________
> >R-help at stat.math.ethz.ch mailing list
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> >
> >
>
> --
> Spencer Graves, PhD, Senior Development Engineer
> O:  (408)938-4420;  mobile:  (408)655-4567
>
>

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