Help for package RcppRoll

Type:

Package

Title:

Efficient Rolling / Windowed Operations

Version:

0.3.1

Author:

Kevin Ushey

Maintainer:

Kevin Ushey <kevinushey@gmail.com>

Description:

Provides fast and efficient routines for common rolling / windowed operations. Routines for the efficient computation of windowed mean, median, sum, product, minimum, maximum, standard deviation and variance are provided.

License:

GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]

Depends:

R (≥ 2.15.1)

Suggests:

zoo, testthat

Imports:

Rcpp

LinkingTo:

Rcpp

RoxygenNote:

6.0.1

NeedsCompilation:

yes

Packaged:

2024-07-07 10:09:06 UTC; kevin

Repository:

CRAN

Date/Publication:

2024-07-07 11:10:02 UTC

RcppRoll

Description

This package implements a number of 'roll'-ing functions for R vectors and matrices.

Details

Currently, the exported functions are:

roll_max
roll_mean
roll_median
roll_min
roll_prod
roll_sd
roll_sum
roll_var

RcppRoll

Description

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.