RcppRoll

Efficient windowed / rolling operations. Each function here applies an operation over a moving window of size n, with (customizable) weights specified through weights.

Usage

roll_mean(x, n = 1L, weights = NULL, by = 1L, fill = numeric(0),
  partial = FALSE, align = c("center", "left", "right"), normalize = TRUE,
  na.rm = FALSE)

roll_meanr(x, n = 1L, weights = NULL, by = 1L, fill = NA,
  partial = FALSE, align = "right", normalize = TRUE, na.rm = FALSE)

roll_meanl(x, n = 1L, weights = NULL, by = 1L, fill = NA,
  partial = FALSE, align = "left", normalize = TRUE, na.rm = FALSE)

roll_median(x, n = 1L, weights = NULL, by = 1L, fill = numeric(0),
  partial = FALSE, align = c("center", "left", "right"), normalize = TRUE,
  na.rm = FALSE)

roll_medianr(x, n = 1L, weights = NULL, by = 1L, fill = NA,
  partial = FALSE, align = "right", normalize = TRUE, na.rm = FALSE)

roll_medianl(x, n = 1L, weights = NULL, by = 1L, fill = NA,
  partial = FALSE, align = "left", normalize = TRUE, na.rm = FALSE)

roll_min(x, n = 1L, weights = NULL, by = 1L, fill = numeric(0),
  partial = FALSE, align = c("center", "left", "right"), normalize = TRUE,
  na.rm = FALSE)

roll_minr(x, n = 1L, weights = NULL, by = 1L, fill = NA,
  partial = FALSE, align = "right", normalize = TRUE, na.rm = FALSE)

roll_minl(x, n = 1L, weights = NULL, by = 1L, fill = NA,
  partial = FALSE, align = "left", normalize = TRUE, na.rm = FALSE)

roll_max(x, n = 1L, weights = NULL, by = 1L, fill = numeric(0),
  partial = FALSE, align = c("center", "left", "right"), normalize = TRUE,
  na.rm = FALSE)

roll_maxr(x, n = 1L, weights = NULL, by = 1L, fill = NA,
  partial = FALSE, align = "right", normalize = TRUE, na.rm = FALSE)

roll_maxl(x, n = 1L, weights = NULL, by = 1L, fill = NA,
  partial = FALSE, align = "left", normalize = TRUE, na.rm = FALSE)

roll_prod(x, n = 1L, weights = NULL, by = 1L, fill = numeric(0),
  partial = FALSE, align = c("center", "left", "right"), normalize = TRUE,
  na.rm = FALSE)

roll_prodr(x, n = 1L, weights = NULL, by = 1L, fill = NA,
  partial = FALSE, align = "right", normalize = TRUE, na.rm = FALSE)

roll_prodl(x, n = 1L, weights = NULL, by = 1L, fill = NA,
  partial = FALSE, align = "left", normalize = TRUE, na.rm = FALSE)

roll_sum(x, n = 1L, weights = NULL, by = 1L, fill = numeric(0),
  partial = FALSE, align = c("center", "left", "right"), normalize = TRUE,
  na.rm = FALSE)

roll_sumr(x, n = 1L, weights = NULL, by = 1L, fill = NA,
  partial = FALSE, align = "right", normalize = TRUE, na.rm = FALSE)

roll_suml(x, n = 1L, weights = NULL, by = 1L, fill = NA,
  partial = FALSE, align = "left", normalize = TRUE, na.rm = FALSE)

roll_sd(x, n = 1L, weights = NULL, by = 1L, fill = numeric(0),
  partial = FALSE, align = c("center", "left", "right"), normalize = TRUE,
  na.rm = FALSE)

roll_sdr(x, n = 1L, weights = NULL, by = 1L, fill = NA,
  partial = FALSE, align = "right", normalize = TRUE, na.rm = FALSE)

roll_sdl(x, n = 1L, weights = NULL, by = 1L, fill = NA,
  partial = FALSE, align = "left", normalize = TRUE, na.rm = FALSE)

roll_var(x, n = 1L, weights = NULL, by = 1L, fill = numeric(0),
  partial = FALSE, align = c("center", "left", "right"), normalize = TRUE,
  na.rm = FALSE)

roll_varr(x, n = 1L, weights = NULL, by = 1L, fill = NA,
  partial = FALSE, align = "right", normalize = TRUE, na.rm = FALSE)

roll_varl(x, n = 1L, weights = NULL, by = 1L, fill = NA,
  partial = FALSE, align = "left", normalize = TRUE, na.rm = FALSE)

Arguments

x

A numeric vector or a numeric matrix.

n

The window size. Ignored when weights is non-NULL.

weights

A vector of length n, giving the weights for each element within a window. If NULL, we take unit weights of width n.

by

Calculate at every by-th point rather than every point.

fill

Either an empty vector (no fill), or a vector (recycled to) length 3 giving left, middle and right fills.

partial

Partial application? Currently unimplemented.

align

Align windows on the "left", "center" or "right".

normalize

Normalize window weights, such that they sum to n.

na.rm

Remove missing values?

Details

The functions postfixed with l and r are convenience wrappers that set left / right alignment of the windowed operations.