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:

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.