rolling window

On 7/19/07, Jordi Molins <jordi.molins.coronado at gmail.com> wrote:

I want to do a rolling window calculation for multivariate data. In other
words: rollFun in fMultivar makes univariate calculations, ie, given for
example mydata[1:5], mydata[2:6], ? I get one number (the function applied
to mydata[1:5]) every time. rollingFunction in PerformanceAnalytics does the
same but for possibly multivariate data, but one column at a time. rapply in
zoo also does rolling window for univariate data (at least, all examples are
with univariate data).

rollapply (which was called rapply in old versions of zoo but was renamed
to avoid collisions with a new function of the same name in the core of R)
in zoo can handle multivariate zoo series either one column at a time (default)
or combined (via by.column = FALSE):