R help - Mar 2008 - Idioms for a timeseries operation - moving window

Hi Guys,

Need your wisdom on this.

Say I have a time series (in zoo format) like this

> x <- zoo(11:21)
> x
 1  2  3  4  5  6  7  8  9 10 11 
11 12 13 14 15 16 17 18 19 20 21 


I want to do a "moving window sampling" of it. The result can either
be a matrix or a dataframe like this

my.super.moving.window(x, length=3, by=1)

11 12 13
12 13 14
13 14 15
14 15 16
....
18 19 20
19 20 21

This shouldn't be new. Many many people must have done this before. Any idea
what's the best(efficient and elegant) way to do this?

Cheers,

Bo




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See

?embed

and from zoo see:
?rollapply
?rollmean
?rollmax

There is a function coded in C in the caTools package for speed.


On Sun, Mar 2, 2008 at 9:24 AM, Bo Zhou <bozhou1981 at hotmail.com>
wrote:
>
> Hi Guys,
>
> Need your wisdom on this.
>
> Say I have a time series (in zoo format) like this
>
>
> > x <- zoo(11:21)
> > x
>  1  2  3  4  5  6  7  8  9 10 11
> 11 12 13 14 15 16 17 18 19 20 21
>
>
> I want to do a "moving window sampling" of it. The result can
either be a matrix or a dataframe like this
>
> my.super.moving.window(x, length=3, by=1)
>
> 11 12 13
> 12 13 14
> 13 14 15
> 14 15 16
> ....
> 18 19 20
> 19 20 21
>
> This shouldn't be new. Many many people must have done this before. Any
idea what's the best(efficient and elegant) way to do this?
>
> Cheers,
>
> Bo
>
>
>
>
> _________________________________________________________________
> Climb to the top of the charts! Play the word scramble challenge with star
power.
>
>        [[alternative HTML version deleted]]
>
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
>