Idioms for a timeseries operation - moving window

I needed that matrix for following calculations. So I don't think roll*
would work for me.

Re: embed

x <- 1:10
embed (x, 3)

     [,1] [,2] [,3]
[1,]    3    2    1
[2,]    4    3    2
[3,]    5    4    3
[4,]    6    5    4
[5,]    7    6    5
[6,]    8    7    6
[7,]    9    8    7
[8,]   10    9    8

x

 [1]  1  2  3  4  5  6  7  8  9 10

The matrix is in revered order. Anyway to put the matrix in the original
order? Ie
1 2 3
2 3 4
...


Cheers,
Bo

Date: Sun, 2 Mar 2008 09:40:09 -0500
From: ggrothendieck at gmail.com
To: bozhou1981 at hotmail.com
Subject: Re: [R] Idioms for a timeseries operation - moving window
CC: r-help at r-project.org

See

?embed

and from zoo see:
?rollapply
?rollmean
?rollmax

There is a function coded in C in the caTools package for speed.


On Sun, Mar 2, 2008 at 9:24 AM, Bo Zhou <bozhou1981 at hotmail.com> wrote:

Hi Guys,

Need your wisdom on this.

Say I have a time series (in zoo format) like this

x <- zoo(11:21)
x

1 2 3 4 5 6 7 8 9 10 11
11 12 13 14 15 16 17 18 19 20 21


I want to do a "moving window sampling" of it. The result can either be

a matrix or a dataframe like this

my.super.moving.window(x, length=3, by=1)

11 12 13
12 13 14
13 14 15
14 15 16
....
18 19 20
19 20 21

This shouldn't be new. Many many people must have done this before. Any

idea what's the best(efficient and elegant) way to do this?

Cheers,

Bo

star power.

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