rollapply() by time, not entries (width)
On Sat, Oct 27, 2012 at 6:52 AM, R. Michael Weylandt
<michael.weylandt at gmail.com> wrote:
I might suggest you take a look at period.apply() in the xts package.
I don't think that will work because it sounds like "J" wants analysis on overlapping intervals, and period.apply works on non-overlapping intervals. I'd suggest using a for loop with the window() function. But be careful about timezone and DST issues if your data is more frequent than daily.
Cheers, Michael
Best, -- Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com
On Fri, Oct 26, 2012 at 7:33 PM, Jaguar83 <jagelfand at gmail.com> wrote:
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! -J -- View this message in context: http://r.789695.n4.nabble.com/rollapply-by-time-not-entries-width-tp4647586.html Sent from the R help mailing list archive at Nabble.com.
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