rollapply

0th

Percentile

Apply Rolling Functions

A generic function for applying a function to rolling margins of an array.

Keywords
ts, array, iteration
Usage
rollapply(data, width, FUN, ..., by = 1, ascending = TRUE, by.column = TRUE,
 na.pad = FALSE, align = c("center", "left", "right"))
Arguments
data
the data to be used (representing a series of observations).
width
number of points per group.
FUN
the function to be applied. In the case of functions like +, %*%, etc., the function name must be quoted.
...
optional arguments to FUN.
by
calculate FUN for trailing width points at every by-th time point.
ascending
logical. If TRUE then points are passed to FUN in ascending order of time; otherwise, they are passed in descending order.
by.column
logical. If TRUE, FUN is applied to each column separately.
na.pad
logical. If TRUE then additional elements or rows of NAs are added so that result has same number of elements or rows as data.
align
character specifying whether result should be left- or right-aligned or centered (default).
Details

Groups time points in successive sets of width time points and applies FUN to the corresponding values. If FUN is mean, max or median and by.column is TRUE and there are no extra arguments then special purpose code is used to enhance performance. See rollmean, rollmax and rollmedian for more details. Currently, there are methods for "zoo" and "ts" series. In previous versions, this function was called rapply. It was renamed because from R 2.4.0 on, base R provides a different function rapply for recursive (and not rolling) application of functions.

Value

  • A object of the same class as data with the results of the rolling function.

See Also

rollmean

Aliases
  • rollapply
  • rollapply.zoo
  • rollapply.ts
Examples
## rolling mean
z <- zoo(11:15, as.Date(31:35))
rollapply(z, 2, mean)

## non-overlapping means
z2 <- zoo(rnorm(6))
rollapply(z2, 3, mean, by = 3)      # means of nonoverlapping groups of 3
aggregate(z2, c(3,3,3,6,6,6), mean) # same

## optimized vs. customized versions
rollapply(z2, 3, mean)   # uses rollmean which is optimized for mean
rollmean(z2, 3)          # same
rollapply(z2, 3, (mean)) # does not use rollmean

## rolling regression:
## set up multivariate zoo series with
## number of UK driver deaths and lags 1 and 12
seat <- as.zoo(log(UKDriverDeaths))
time(seat) <- as.yearmon(time(seat))
seat <- merge(y = seat, y1 = lag(seat, k = -1),
  y12 = lag(seat, k = -12), all = FALSE)

## run a rolling regression with a 3-year time window
## (similar to a SARIMA(1,0,0)(1,0,0)_12 fitted by OLS)
fm <- rollapply(seat, width = 36,
  FUN = function(z) coef(lm(y ~ y1 + y12, data = as.data.frame(z))),
  by.column = FALSE, align = "right")

## plot the changes in coefficients
plot(fm)
## showing the shifts after the oil crisis in Oct 1973
## and after the seatbelt legislation change in Jan 1983
Documentation reproduced from package zoo, version 1.5-6, License: GPL-2

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