similar to: rollapply.zoo() with na.rm=TRUE

library(zoo) library(chron) t1 <- chron("1/1/2006", "00:00:00") t2 <- chron("1/31/2006", "23:45:00") deltat <- times("00:15:00") tt <- seq(t1, t2, by = times("00:15:00")) d <- sample(33:700, 2976, replace=TRUE) sin.zoo <- zoo(d,tt) #there are ninety six reading in a day d.max <- rollapply(sin.zoo, width=96, FUN=max)

# Hi there, # I am trying to apply a function over a moving-window for a large number of multivariate time-series that are grouped in a nested set of factors. I have spent a few days searching for solutions with no luck, so any suggestions are much appreciated. # The data I have are for the abundance dynamics of multiple species observed in multiple fixed plots at multiple sites. (I total I

zoo's rollapply() function appears to be extremely useful for plugging in a function on-the-fly to run over a window. With inline, there is a lot more coding and room for error, and the code is less portable because the user has to have R compiling set up or it won't work. However, rollapply() seems to be really slow. Several orders of magnitude slower than inline, in fact. I don't

Here is a relatively simple script (with comments as to the logic interspersed): # Some of these libraries are probably not needed here, but leaving them in place harms nothing: library(tseries) library(xts) library(quantmod) library(fGarch) library(fTrading) library(ggplot2) # Set the working directory, where the data file is located, and read the raw data

Dear R users. I have zoo object "size_june" containing market-capital values: > dim(size_june) # market-cap data of 625 firms for 20 years [1] 20 625 > class(size_june) [1] "zoo" > size_june # colnames = "size.firmcode" size.34020 size.4710 size.11050 size.10660 size.9540 size.8060 size.16160 size.8080 size.9280 1988-06-30 NA

Hi folks, I am confused whether the following is a bug or it is fine Here is the explanation a <- zoo(c(NA,1:9),1:10) Now If I do rollapply(a,FUN=mean,width=3,align="right") I get > rollapply(a,FUN=mean,width=3,align="right") 3 4 5 6 7 8 9 10 NA NA NA NA NA NA NA NA But I shouldn't be getting NA right ? i.e for index 10 I should get (1/3)*(9+8+7)

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 have a rollapply statement that applies a function, in steps, over a data matrix as follows: #Code start testm<-rollapply(mat, 100, by=100, min, na.rm=F) #Code end This moves down matrix 'mat' and calculates the minimum value over a 100 row range, every 100 rows (i.e. no overlaps). NAs are not removed. I want to modify this statement somehow so that the rollapply()

Hi, Sorry ahead of time for not including data with this question. Using rollapply to calculate mean values for 5 day blocks, I'd use this: Roll5mean <- rollapply(data, 5, mean, by=5, align = c("left")) My question is, can someone tell me how to fill in the days between each of these means with the previously calculated mean? If this doesn't make sense, I will clarify and

Hi all- Thank you for reading my post. Please bear in mind that I'm very much a newbie with R! My question is this: I'm trying to use rollapply() on an irregular time series so I can't simply use the width parameter (I don't think). Rather than last 5 entries, I'd like to rollapply on last 6 months (for example). What would be the proper course of action for this? Thanks!

Hi, I faced with problem when start using function - rollapply(returns, 3 , mean) Error in UseMethod("rollapply") : No suitable Method for "rollaply" How can I fix the problem? Thank you for help. -- Best regards, Andy Fetsun [[alternative HTML version deleted]]

#using "rollapply" to calculate a moving sum or running sum? #I am tryign to use rollapply to calcualte a moving sum? #I tried rollapply and get the error message #"Error in seq.default(start.at, NROW(data), by = by) : # wrong sign in 'by' argument" #example: mymatrix <- ( matrix(data=1:100, nrow=5, ncol=20) ) mymatrix_cumsum <- ( matrix(data=NA, nrow=5,

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: 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

Good morning, I have discovered what I believe to be a performance regression between Zoo 1.6x and Zoo 1.7-6 in the application of rollapply. On zoo 1.6x, rollapply of my function over my data takes about 20 minutes. Using 1.7-6, the same code takes about 6 hours. R --version R version 2.13.1 (2011-07-08) Copyright (C) 2011 The R Foundation for Statistical Computing ISBN 3-900051-07-0 Platform:

Hello I have a vector a =(-2,0,0,0,1,0,0,3,0,0,-4) I want to replace all zeros into previous non-zero state. So for instance the above vector should be converted into: a= (-2,-2,-2,-2,1,1,1,3,3,3,-4) I tried many things and finally concluded that probably(?) rollapply may be the best way? I tried f= function(x){ ifelse(x==0,Lag(x),x) } And then, rollappy(a,1,f) and that

Dear List members I want to do the sliding window analysis of some specific values. Here is my code: require(zoo) dat <- read.table("chr1.txt", header = TRUE, sep="\t") dat2 <- cbind(dat[1,3]) #The first column is also important. It represents the position of the site on the chromosome. TS <- zoo(c(dat2)) a <- rollapply(TS, width=1000000, by=200000, FUN=mean,

Dear R users,I have a long program that I am trying to run--I am using RStudio as my interface with R. The pieces of the program run well individually but when I try to run everything in sequence it bogs down because of a warning after using rollmax from package zoo. Here is the warning: "In rollmax.zoo(zoo(Pmat), 7, na.pad = FALSE, align = "right") : na.pad is deprecated. Use

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

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'),