similar to: Rolling regressions with sample extended one period at a time

Guys: 1).When I using the 'quantile' function, I get really confused. Here is what I met: > x<-zoo(rnorm(500,0,1)) > quantile(x,0.8) 400 1.060258 > c=rnorm(500,0,1) > quantile(c,0.8) 80% 0.9986075 why do the results display different? Is that because of the different type of the class? 2).And I want to use the 'rollapply' function to compute a

hi guys, I am using trivariate VAR model to get 10 step ahead orthogonalized impulse response functions. I want to use rolling sample analysis on the coefficients of the irf but I have no idea how to do that. I looked through the forums but I can't seem to find any solutions. Any suggestions would be helpful. B -- View this message in context:

Dear Colleagues, I have faced with the problem that function rollaply with rolling window for calculation of volatility doesn't give the all results of calculations. I have run the rolling window for calculation in Excel and obtained that the number of outputs for Excel is 36 and for R is 18. The total number of observations is 37. In the attachment you can find pdf of the Excel and Excel

Hello there, I am trying to compute the 3 months return momentum with the timeSeries x.ts, which is just a subset of simple returns from a much bigger series, > class(x.ts) [1] "timeSeries" attr(,"package") [1] "timeSeries" > dim(x.ts) [1] 20 3 > x.ts[1:8,] GMT MS.US AAPL.US CA.FP 1996-01-31 0.15159065 -0.133391894

Hi All, I am using R 2.11.0 on a Ubuntu machine. I have a time series data set and want to run rolling regressions with it. Any suggestions would be useful. Here are the details: (1) I convert relevant variables into time series objects and compute first differences: vad <- ts(data$ALLGVA/data$GDPDEF, start=1948, frequency=1) emp <- ts(data$ALLEMP, start=1948, frequency=1) vad.dif1 <-

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

Hello, I'm new to R and would like to know how to create a vector of "rolling sums". (I have seen the Rmetrics package and the rollMean function and I would like to do the same thing except Sum instead of Mean.) I imagine someone has done this, I just can't find it anywhere. Example: x <- somevector #where x is 'n' entries long #what I would like to do is: x1

Hi Does there exists an efficient way of performing linear regression on rolling windows in R. The exact problem is: We have a dataset of length l. The window size is w. Now, I perform linear regression on window i to (i+w) . Using this model can I perform linear regression over window (i+1) to (i+w+1). Thanks Sid Sent on my BlackBerry? from Vodafone

Hi again, I am wondering there is any function for 'zoo' time series, where I can apply a user defined function rolling window basis, wherein window size is ever increasing i.e. not fixed. For example, let say I have below user defined function and a zoo time series : > library(zoo) > UDF = function(x) sum(x) > TS = zoo(rnorm(10), seq(as.Date('2017-01-01'),

Hi R, I want to do some rolling correlations. But before, I searched for "?rollingCorrelation" and tried the example in it. But I was not successful. What could be the problem? Here is the code I tried: > library(zoo) > library(PerformanceAnalytics) > rollingCorrelation(manager.ts@Data[,1],edhec.ts@Data,n=12) Error in inherits(object, "zoo") : object

Hi Joshua, thanks for your prompt reply. However as I said, sum() function I used here just for demonstrating the problem, I have other custom function to implement, not necessarily sum() I am looking for a generic solution for above problem. Any better idea? Thanks, On Fri, Aug 11, 2017 at 12:04 AM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote: > Use a `width` of integer index

Dear all, I have spent the last few days on a seemingly simple and previously documented rolling regression. I have a 60 year data set organized in a ts matrix. The matrix has 5 columns; cash_ret, epy1, ism1, spread1, unemp1 I have been able to come up with the following based on previous help threads. It seems to work fine. The trouble is I get regression coefficients but need the immediate

Use a `width` of integer index locations. And you likely want = "right" (or rollapplyr(), as I used). R> set.seed(21) R> x <- rnorm(10) R> rs <- rollapplyr(x, seq_along(x), sum) R> cs <- cumsum(x) R> identical(rs, cs) [1] TRUE On Thu, Aug 10, 2017 at 1:28 PM, Christofer Bogaso <bogaso.christofer at gmail.com> wrote: > Hi again, > > I am

Hi everyone, I am trying to apply linear regression to adjacent columns in a matrix (i.e. col1~col2; col3~col4; etc.). The columns in my matrix come with identifiers at the top of each column, but when I try to use these identifiers to reference the columns in the regression function using rollapply(), the columns are not recognised and the regression breaks down. Is there a more robust way to

Hope someone can help me here. I have a daily time series, say 2003-02-01 2003-02-03 2003-02-07 2003-02-09 2003-02-14 .......... 2004-02-01 2004-02-04 0.4914798 -1.1857653 -1.6982844 -0.3559572 -0.2333087 ........... 0.44553 -0.45222 I need to calculate the statistics for the overlapping rolling yearly window with rolling step as 1 day so for each of the intervals: (2003-02-01 ~

Replace "sum" with your custom function's name. I don't see any reason why that wouldn't work, and the problem with my solution is not clear in your response. r <- rollapplyr(x, seq_along(x), yourCustomFunctionGoesHere) On Thu, Aug 10, 2017 at 1:39 PM, Christofer Bogaso <bogaso.christofer at gmail.com> wrote: > Hi Joshua, thanks for your prompt reply. However

Could someone give me an idea on how to do rolling ranking, i.e. rank in the moving window of last 100 numbers in a long vector? I tried naive solution like roll.rank<-function(v, len){ r<-numeric(length(v)-len+1) for(i in len:length(v)) r[i-len+1]<-rank(v[(i-len+1):i])[len] r } However, it turns out pretty slow even on my rather able Linux box. For

Hi I would like to understand how to extend the function (FUN) I am using in rollapply below. ###################################### With the following simplified data, test1 yields parameters for a rolling regression data = data.frame(Xvar=c(70.67,70.54,69.87,69.51,70.69,72.66,72.65,73.36), Yvar =c(78.01,77.07,77.35,76.72,77.49,78.70,77.78,79.58)) data.z = zoo(d) test1 =

Hi everyone, I'm experiencing difficulty getting the results I want when I use a nested for loop. I have a data set to which I perform some calculations, and then try to apply a regression over a rolling window. The code runs, but the regression results I am getting (intercept and slope) are simply the same, repeated again and again in the results matrix. The regression does not seem to be

I'm having trouble returning a rolling n period highest value for a data set. For each day I want to calculate the highest value over the last 3 days. I am using the following packages: zoo, xts, quantmod and TTR. Thanks, Jason GLD.Close 2010-10-01 128.91 2010-10-04 128.46 2010-10-05 130.99 2010-10-06 131.81 2010-10-07 130.37 2010-10-08 131.66 2010-10-11