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2009 Mar 23
1
performance: zoo's rollapply() vs inline
...ed to learn, because the speed difference
is just way too big.
The results of a quick test are shown below.
I am totally open to suggestions on how to do windowed calculations, in
general, but it looks like I may have to bite the bullet and learn all the
intricacies of calling R from C.
NOTE: pchg.inline() is not shown because it's much longer/complex than
pchg.rollapply(), but I am doing no optimizations.
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pchg.rollapply <- function(this, m, shift=1, ...) {
rollapply( m,...