roll

roll is a package for R that provides parallel functions for computing rolling statistics of time-series data.

Examples

"Multi-asset principal component regression using RcppParallel," R/Finance: Applied Finance with R, May 2016, Chicago, IL: http://past.rinfinance.com/agenda/2016/talk/JasonFoster.pdf

Installation

Get the released version from CRAN:

install.packages("roll")

Or the development version from GitHub:

# install.packages("devtools")
devtools::install_github("jjf234/roll")