Saji Ren
2009-Nov-27 07:19 UTC
[R] How to compute Rolling analysis of Standard Deviation using ZOO package?
Hello: I want to get a rolling estimation of the stdev of my data. Searching the document, I found the function "rollapply" in the zoo package. For example, my series is "c", and i want get a period of 10 days, so i write the command below: roll.sd = rollapply( c, 10, sd, na.pad = TRUE, align = 'right' ) but there is an error in it ,and the computing cannot be performed. Can anyone help? PLUS: I also found that there is a function called "rollFun" in package 'fSeries', but there isn't anymore. [[alternative HTML version deleted]]
Karl Ove Hufthammer
2009-Nov-27 08:17 UTC
[R] How to compute Rolling analysis of Standard Deviation using ZOO package?
On Fri, 27 Nov 2009 15:19:11 +0800 Saji Ren <saji.ren at gmail.com> wrote:> I want to get a rolling estimation of the stdev of my data.There is a 'runsd' in the 'caTools' package which does exactly this. -- Karl Ove Hufthammer
Gabor Grothendieck
2009-Nov-27 10:09 UTC
[R] How to compute Rolling analysis of Standard Deviation using ZOO package?
We will need a minimal reproducible example (as per last line on every message to r-help) to answer as trying it with made up data seems to work for me. If c is very long try cutting it down to the smallest you can get it to and still produce the error, e.g. cc <- c[1:10] rollapply(cc, ...) and then post the output of dput(cc) Here is an example:> library(zoo) > c <- zoo(1:100) > rollapply(c, 10, sd, na.pad = TRUE, align = 'right')1 2 3 4 5 6 NA NA NA NA NA NA 7 8 9 10 11 12 NA NA NA 3.027650 3.027650 3.027650 13 14 15 16 17 18 3.027650 3.027650 3.027650 3.027650 3.027650 3.027650 19 20 21 22 23 24 3.027650 3.027650 3.027650 3.027650 3.027650 3.027650 25 26 27 28 29 30 3.027650 3.027650 3.027650 3.027650 3.027650 3.027650 31 32 33 34 35 36 3.027650 3.027650 3.027650 3.027650 3.027650 3.027650 37 38 39 40 41 42 3.027650 3.027650 3.027650 3.027650 3.027650 3.027650 43 44 45 46 47 48 3.027650 3.027650 3.027650 3.027650 3.027650 3.027650 49 50 51 52 53 54 3.027650 3.027650 3.027650 3.027650 3.027650 3.027650 55 56 57 58 59 60 3.027650 3.027650 3.027650 3.027650 3.027650 3.027650 61 62 63 64 65 66 3.027650 3.027650 3.027650 3.027650 3.027650 3.027650 67 68 69 70 71 72 3.027650 3.027650 3.027650 3.027650 3.027650 3.027650 73 74 75 76 77 78 3.027650 3.027650 3.027650 3.027650 3.027650 3.027650 79 80 81 82 83 84 3.027650 3.027650 3.027650 3.027650 3.027650 3.027650 85 86 87 88 89 90 3.027650 3.027650 3.027650 3.027650 3.027650 3.027650 91 92 93 94 95 96 3.027650 3.027650 3.027650 3.027650 3.027650 3.027650 97 98 99 100 3.027650 3.027650 3.027650 3.027650> R.version.string[1] "R version 2.10.0 Patched (2009-11-21 r50532)"> packageDescription("zoo")$Version[1] "1.6-2" On Fri, Nov 27, 2009 at 2:19 AM, Saji Ren <saji.ren at gmail.com> wrote:> Hello: > > I want to get a rolling estimation of the stdev of my data. > Searching the document, I found the function "rollapply" in the zoo package. > > For example, my series is "c", and i want get a period of 10 days, > so i write the command below: > > roll.sd = rollapply( c, 10, sd, na.pad = TRUE, align = 'right' ) > > but there is an error in it ,and the computing cannot be performed. > Can anyone help? > > PLUS: I also found that there is a function called "rollFun" in package > 'fSeries', but there isn't anymore. > > ? ? ? ?[[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. >