Apply a function over a rolling range of a data structure

Description

Either applies a function over a rolling range of a sequence or multiple sequences bound as a matrix or data.frame.

Arguments

Value

In the 1D case, a vector of length(x) - window + 1 (unless padded) will be returned. Otherwise a matrix with dimension length(x) - window + 1 by ncol(x) will be returned.

Usage

maprange(x, window, fn, do.pad=FALSE, by=1)

Details

This function is intended to work primarily with time series-like objects where the same statistic is computed over a rolling window of the time series. In other packages this operation is referred to as rollapply (e.g. zoo). This version has two significant differences from other implementations: 1) it is purely functional, and therefore easy to reason about; 2) it has consistent semantics with the family of map functions; 3) it has an extra parameter by to set the gap between two contiguous windows.

A typical use case for the by parameter is like this: you have a monthly time series, and need to calculate a metric over a rolling window of 12 months, but the start point of each window is every quarter end. Normally you'd have to roll through every months then filter out those that start at quarter end. Now you can just set by=3 and get your result in one line.

Comparing the code for zoo:::rollapply.zoo, which is close to 100 lines, versus the 3 lines separated into 2 function clauses clearly demonstrates the conciseness inherent in functional programming. Mathematics is known for being very compact and powerful. When utilized appropriately, functional programs share this same property.

Author(s)

Brian Lee Yung Rowe

See Also

map mapblock

Examples

# Compute a 5-period moving average over a vector
maprange(rnorm(20), 5, mean, do.pad=TRUE)

# Same as above, but do it for 4 time series
maprange(matrix(rnorm(80),ncol=4), 5, mean, do.pad=TRUE)

Results