quantmod (version 0.3-1)

period.apply: Apply Function Over Specified Interval

Description

Apply a specified function to data over a given interval, where the interval is taken to be the data from INDEX[k] to INDEX[k+1], for k=1:(length(INDEX)-1).

Usage

period.apply(x, INDEX, FUN, ...)

Arguments

x

data to apply FUN to

INDEX

numeric vector specifying indexing

FUN

an argument of type function

...

additional arguments for FUN

Value

• A vector with length of INDEX minus 1

Details

Similar to the rest of the apply family, calculate a specified functions value given a shifting set of data values. The primary difference is that it is that period.apply applies a function to non-overlapping intervals along a vector.

Useful for applying arbitrary functions over an entire data object by an aribirtary index, as when INDEX is the result of a call to breakpoints.

See Also

breakpoints apply.monthly

Examples

zoo.data <- zoo(rnorm(31)+10,as.Date(13514:13744,origin="1970-01-01"))
bp <- breakpoints(zoo.data,by=weeks)
period.apply(zoo.data, INDEX=bp, FUN=function(x) sd(x))
period.apply(zoo.data, INDEX=bp, FUN=sd)                  #same

glue <- function(x) { paste(x,collapse='') }
period.apply(letters,c(0,5,7,26),glue)