Dear expeRts,
The rollapply(tseries) function puzzles me. When applying a function over a
rolling window, I am getting NAs at odd places:
dow <- get.hist.quote(instrument="^DJI", start="2010-02-01", quote="Close")
dow.2 <- rollapply(dow, width=2, FUN=mean)
dow.3 <- rollapply(dow, width=3, FUN=mean)
dow.4 <- rollapply(dow, width=4, FUN=mean)
merge(dow, dow.2, dow.3, dow.4)
Close.dow Close.dow.2 Close.dow.3 Close.dow.4
2010-02-01 10185.53 10241.190 NA NA
2010-02-02 10296.85 10283.700 10250.977 10188.78
2010-02-03 10270.55 10136.365 10189.860 10145.45
2010-02-04 10002.18 10007.205 10094.987 10048.34
2010-02-05 10012.23 9960.310 9974.267 9995.36
2010-02-08 9908.39 9983.515 9993.087 10004.41
2010-02-09 10058.64 10048.510 10001.803 10037.40
2010-02-10 10038.38 10091.285 10080.403 10085.09
2010-02-11 10144.19 10121.665 10093.903 10137.63
2010-02-12 10099.14 10183.975 10170.713 10205.34
2010-02-16 10268.81 10289.025 10225.730 10267.52
2010-02-17 10309.24 10351.070 10323.650 10343.33
2010-02-18 10392.90 10397.625 10368.163 10371.97
2010-02-19 10402.35 10392.865 10392.877 10365.26
2010-02-22 10383.38 10332.895 10356.047 10360.58
2010-02-23 10282.41 10328.285 10346.650 10340.24
2010-02-24 10374.16 10347.595 10325.867 10325.72
2010-02-25 10321.03 10323.145 10340.150 NA
2010-02-26 10325.26 NA NA NA
If rollapply() is "forward looking" (lacking a better word for it), the NAs
should be at the end. This seems not to be the case.
Am I missing a trivial point regarding rollapply()? Any pointers much
appreciated.
Thanks,
Bernd
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