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\name{RollingAnalysis}
\alias{RollingAnalysis}
\alias{rollFun}
% \alias{rollMin}
% \alias{rollMax}
% \alias{rollMean}
\alias{rollVar}
\title{Rolling Analysis}
\description{
A collection and description of functions
to perform a rolling analysis. A rolling
analysis is often required in building
trading models.
\cr
The functions are:
\tabular{ll}{
\code{rollFun} \tab Rolling or moving sample statistics, \cr
% \code{rollMin} \tab Rolling or moving sample minimum, \cr
% \code{rollMax} \tab Rolling or moving sample maximum, \cr
% \code{rollMean} \tab Rolling or moving sample mean, \cr
\code{rollVar} \tab Rolling or moving sample variance. }
}
\usage{
rollFun(x, n, trim = TRUE, na.rm = FALSE, FUN, ...)
% rollMin(x, n = 9, trim = TRUE, na.rm = FALSE)
% rollMax(x, n = 9, trim = TRUE, na.rm = FALSE)
% rollMean(x, n = 9, trim = TRUE, na.rm = FALSE)
rollVar(x, n = 9, trim = TRUE, unbiased = TRUE, na.rm = FALSE)
}
\arguments{
\item{FUN}{
the rolling function, arguments to this function can be
passed through the \code{\dots} argument.
}
\item{n}{
an integer specifying the number of periods or
terms to use in each rolling/moving sample.
}
\item{na.rm}{
a logical flag: if TRUE, missing values in x will be removed
before computation. The default is FALSE.
}
\item{trim}{
a logical flag: if TRUE, the first n-1 missing values in
the returned object will be removed; if FALSE, they will
be saved in the returned object. The default is TRUE.
}
\item{unbiased}{
a logical flag. If TRUE, the unbiased sample variance
will be returned. The default is TRUE.
}
\item{x}{
an univariate \code{timeSeries} object or a numeric vector.
}
\item{\dots}{
additional arguments to be passed.
}
}
\value{
The functions return a \code{timeSeries} object or a numeric
vector, depending on the argument \code{x}.
\code{rollMax} returns the rolling sample maximum, \cr
\code{rollMin} returns the rolling sample minimum, \cr
\code{rollMean} returns the rolling sample mean, and \cr
\code{rollVar} returns the biased/unbiased rolling sample variance.
Note, that the function \code{rollFun} always returns a numeric
vector, independent of the argument \code{x}.
If you like to operate for \code{x} with rectangular objects,
you have to call the functions columnwise within a loop.
}
\seealso{
\code{\link{var}}.
}
\author{
Diethelm Wuertz for the Rmetrics \R-port.
}
\examples{
## Rolling Analysis:
x = (1:10)^2
x
trim = c(TRUE, TRUE, FALSE, FALSE)
na.rm = c(TRUE, FALSE, TRUE, FALSE)
for (i in 1:4)
rollFun(x, 5, trim[i], na.rm[i], FUN = min)
for (i in 1:4)
rollFun(x, 5, trim[i], na.rm[i], FUN = max)
for (i in 1:4)
rollVar(x, 5, trim[i], unbiased = TRUE, na.rm[i])
for (i in 1:4)
rollVar(x, 5, trim[i], unbiased = FALSE, na.rm[i])
}
\keyword{math}
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