See the align= argument to rollapply.
On Mon, Mar 1, 2010 at 4:37 PM, herr dittmann <herrdittmann at
yahoo.co.uk> wrote:> Dear expeRts,
>
> The rollapply(tseries) function puzzles me. When applying a function over a
rolling window, I am getting NAs at odd places:
>
> dow <- get.hist.quote(instrument="^DJI",
start="2010-02-01", quote="Close")
> dow.2 <- rollapply(dow, width=2, FUN=mean)
> dow.3 <- rollapply(dow, width=3, FUN=mean)
> dow.4 <- rollapply(dow, width=4, FUN=mean)
>
> merge(dow, dow.2, dow.3, dow.4)
>
> ? ? ? ? ? Close.dow Close.dow.2 Close.dow.3 Close.dow.4
> 2010-02-01 ?10185.53 ? 10241.190 ? ? ? ? ?NA ? ? ? ? ?NA
> 2010-02-02 ?10296.85 ? 10283.700 ? 10250.977 ? ?10188.78
> 2010-02-03 ?10270.55 ? 10136.365 ? 10189.860 ? ?10145.45
> 2010-02-04 ?10002.18 ? 10007.205 ? 10094.987 ? ?10048.34
> 2010-02-05 ?10012.23 ? ?9960.310 ? ?9974.267 ? ? 9995.36
> 2010-02-08 ? 9908.39 ? ?9983.515 ? ?9993.087 ? ?10004.41
> 2010-02-09 ?10058.64 ? 10048.510 ? 10001.803 ? ?10037.40
> 2010-02-10 ?10038.38 ? 10091.285 ? 10080.403 ? ?10085.09
> 2010-02-11 ?10144.19 ? 10121.665 ? 10093.903 ? ?10137.63
> 2010-02-12 ?10099.14 ? 10183.975 ? 10170.713 ? ?10205.34
> 2010-02-16 ?10268.81 ? 10289.025 ? 10225.730 ? ?10267.52
> 2010-02-17 ?10309.24 ? 10351.070 ? 10323.650 ? ?10343.33
> 2010-02-18 ?10392.90 ? 10397.625 ? 10368.163 ? ?10371.97
> 2010-02-19 ?10402.35 ? 10392.865 ? 10392.877 ? ?10365.26
> 2010-02-22 ?10383.38 ? 10332.895 ? 10356.047 ? ?10360.58
> 2010-02-23 ?10282.41 ? 10328.285 ? 10346.650 ? ?10340.24
> 2010-02-24 ?10374.16 ? 10347.595 ? 10325.867 ? ?10325.72
> 2010-02-25 ?10321.03 ? 10323.145 ? 10340.150 ? ? ? ? ?NA
> 2010-02-26 ?10325.26 ? ? ? ? ?NA ? ? ? ? ?NA ? ? ? ? ?NA
>
>
> If rollapply() is "forward looking" (lacking a better word for
it), the NAs should be at the end. This seems not to be the case.
>
> Am I missing a trivial point regarding rollapply()? Any pointers much
appreciated.
>
> Thanks,
>
> Bernd
>
>
>
>
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