apply a function to a rolling subset of a vector

On Wed, 2 Mar 2005 17:22:43 -0500, "Whit Armstrong"
<whit at twinfieldscapital.com> wrote :

Does anyone know an easy way to calculate the rolling 20 period average
or sum of a vector?

For instance:
x <- rnorm(1000)

y <- apply.subset(x,20,fun="sum")

The first element of y would contain the sum of elements 1 to 20, the
second element of y 
would contain the sum of elements 2:21, and so on.

I thought I had seen this on the list a year or so ago, but I couldn't
find anything in the archives.

I don't know of a general purpose function, but filter() (in the stats
package) can do the example you give, or any other linear filter.

e.g.

x <- rnorm(1000)
y <- filter(x, rep(1,20))

puts 20 element sums into y.  The vector ends up the same length as x,
with NAs at the beginning and end (by default).

Duncan Murdoch