statar (version 0.3.0)

roll_lag: Apply rolling functions within time intervals

Description

Apply rolling functions within time intervals

Usage

roll_lag(x, FUN, n, along_with = NULL, order_by = NULL, closed = c(TRUE,
  TRUE), min = 1L, ...)
roll_lead(x, FUN, n, along_with = NULL, order_by = NULL, closed = c(TRUE,
  TRUE), min = 1L, ...)

Arguments

x

a vector or matrix

FUN

function to apply on x

n

a numeric specifying the rolling window

along_with

use this variable to roll the function based on the [along_with - n, along_with] rather than the past n rows. NA are not accepted

order_by

override the default ordering to use another vector

closed

Logical of length 2 (recycled) Should interval be closed ? Default to c(TRUE, TRUE)

min

An integer. Return NA if the number of observations is strictkly lower than min

...

options to pass to the function FUN

Examples

date  = c(1, 2, 4, 7)
x <- c(1, 1, 1, 1)
roll_lag(x,sum, n = 1, along_with = date)
roll_lag(x,sum, n = 1, along_with = date, min = 2)
roll_lag(x, sum, n = 1, along_with = date)
roll_lag(x, sum, n = 2, along_with = date)
roll_lead(x, sum, n = 1, along_with = date)
roll_lead(x, sum, n = 2, along_with = date)
y <- c(1, 2, 1, 1)
roll_lag(list(x,y), function(z){cov(z[[1]], z[[2]])},  n = 2, along_with = date)