Rolling Statistics

Fast and efficient computation of rolling statistics for time-series data.


roll is a package for R that provides fast and efficient computation of rolling statistics for time-series data.

Installation

Get the released version from CRAN:

install.packages("roll")

Or the development version from GitHub:

# install.packages("devtools")
devtools::install_github("jjf234/roll")

News

News for package 'roll'

Changes in roll version 1.1.2 (2019-02-06)

  • New roll_median, roll_min, roll_max, roll_any, and roll_all functions for computing rolling medians, minimums, maximums, any, and all, respectively, of time-series data (#4, #13, #14)
    • Note: roll_median, roll_min, and roll_max functions are not calculated using online algorithms

Changes in roll version 1.1.1 (2018-08-11)

  • Added online argument to process observations using online algorithms by default

  • roll_lm function now returns standard errors (#7)

  • Simplified checks for width and min_obs arguments (#3)

  • Added y argument to roll_cov and roll_cor functions (#2)

  • Updated src/Makevars and src/Makevars.win files to what the RcppArmadillo skeleton default now uses to more fully utilize OpenMP

    • Note: if users take advantage of parallelism using multithreaded libraries, then limit the number of cores in the RcppParallel package to one with the setThreadOptions function
  • Deprecated less common functions (roll_eigen, roll_vif, and roll_pcr) and arguments (scale and center in the roll_lm function); also removed the parallel_for argument in favor of a new approach used internally

Changes in roll version 1.0.7 (2017-05-01)

  • New roll_sum and roll_prod functions for computing rolling sums and products, respectively, of time-series data

  • Added init.c file with calls to R_registerRoutines() and R_useDynamicSymbols(); also uses .registration = TRUE in useDynLib in NAMESPACE

Changes in roll version 1.0.6 (2016-09-19)

  • Added intercept argument to roll_lm and roll_pcr functions

  • Turned on CXXSTD = CXX11 to enforce adherence to the C++11 standard

Changes in roll version 1.0.5 (2016-08-29)

  • Added a section on examples to the README file

  • Fixed an issue in the src/Makevars and src/Makevars.win files (#1)

Changes in roll version 1.0.4 (2016-07-05)

  • roll_lm and roll_pcr functions have been enhanced:

    • y can now be a matrix or xts object with multiple dependent variables

    • Added shorthand arguments for center and scale

  • New roll_scale function for computing rolling scaling and centering of time-series data

Reference manual

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install.packages("roll")

1.1.3 by Jason Foster, a month ago


https://github.com/jjf234/roll


Report a bug at https://github.com/jjf234/roll/issues


Browse source code at https://github.com/cran/roll


Authors: Jason Foster


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL (>= 2) license


Imports Rcpp, RcppParallel

Suggests covr, testthat, zoo

Linking to Rcpp, RcppArmadillo, RcppParallel

System requirements: GNU make, C++11


Imported by dLagM.

Depended on by kcpRS.

Suggested by rollRegres.


See at CRAN