On Thu, 24 Jul 2008, rcoder wrote:
Hi everyone,
I want to calculate a min and max (i.e. range) on a rolling time frame of 50
periods for a matrix with the number of periods extending along the row
direction. So for 300 periods, there will be 6 time frame windows per
column, and 6 min max pairs. I then want to o/p these pairs to a separate
matrix.
On a separate matter, I have a matrix containing data on which perform a
regresssion over a rolling time period. Is there a convenient way I can do
this for each column, and then save the gradient to an o/p matrix?
Look at the package "zoo", specifically the examples on the manual pages
of ?rollapply and ?aggregate.zoo. These should be helpful in doing what
you want. The package vignettes have further worked examples.
hth,
Z
Thanks,
rcoder
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