maprange: Apply a function over a rolling range of a data structure

Description

Either applies a function over a rolling range of a sequence or multiple sequences bound as a matrix or data.frame.

Arguments

Any indexable data structure

window

The length of the sub-sequence to pass to fn

A function applied to a rolling range of x

do.pad

Whether to pad the output to be the same length as the input

Value

In the 1D case, a vector of length(x) - window + 1 (unless padded) will be returned. Otherwise a matrix with dimension length(x) - window + 1 by ncol(x) will be returned.

Usage

maprange(x, window, fn, do.pad=FALSE)

Details

This function is intended to work primarily with time series-like objects where the same statistic is computed over a rolling window of the time series. In other packages this operation is referred to as rollapply (e.g. zoo). This version has two significant differences from other implementations: 1) it is purely functional, and therefore easy to reason about; 2) it has consistent semantics with the family of map functions.

Comparing the code for zoo:::rollapply.zoo, which is close to 100 lines, versus the 3 lines separated into 2 function clauses clearly demonstrates the conciseness inherent in functional programming. Mathematics is known for being very compact and powerful. When utilized appropriately, functional programs share this same property.

Examples

Run this code

# Compute a 5-period moving average over a vector
maprange(rnorm(20), 5, mean, do.pad=TRUE)

# Same as above, but do it for 4 time series
maprange(matrix(rnorm(80),ncol=4), 5, mean, do.pad=TRUE)