quantmod (version 0.3-1)

apply.monthly: Apply Function over Calendar Periods

Description

Apply a specified function to each distinct period in a given time series object.

Usage

apply.daily(x, FUN)
apply.weekly(x, FUN)
apply.monthly(x, FUN)
apply.quarterly(x, FUN)
apply.yearly(x, FUN)

Arguments

x

an object of class zoo

FUN

an Rfunction

Value

• A vector of results produced by FUN, corresponding to the appropriate periods.

Details

Simple mechanism to apply a function to non-overlapping time periods, e.g. weekly, monthly, etc. Different from rolling functions in that this will subset the data based on the specified time period (implicit in the call), and return a vector of values for each period in the original data.

Essentially a wrapper to the quantmod functions breakpoints and period.apply, mainly as a convenience.

See Also

breakpoints, period.apply, to.monthly

Examples

zoo.ts <- zoo(rnorm(231),as.Date(13514:13744,origin="1970-01-01"))

start(zoo.ts)
end(zoo.ts)

apply.monthly(zoo.ts,sd)
apply.monthly(zoo.ts,function(x) var(x))