Hi. Welcome. I'm not aware of anything in R for fully efficient rolling median/quantile; it's an interesting case. If it find it, or build it, please let us know.
http://stackoverflow.com/questions/11676476/r-data-table-sliding-window in which my comment links to : http://stackoverflow.com/questions/1309263/rolling-median-algorithm-in-c Matthew > Hello, > > I am new to data.tables so apologies if this is a very basic question. > > I have heard that data.tables significantly improves computational times > when working with large amounts data, and so would like to see if > data.table is able to help in speeding up the rollapply function. > > if we have some univariate data > > xts.obj <- xts(rnorm(1e6), order.by=as.POSIXct(Sys.time()-1e6:1), > tz="GMT") > colnames(xts.obj) <- "rtns" > > a simple rolling quantile with width of 100 and a p of 0.75 takes a > surprisingly long time... > > i.e. the line of code > > xts.obj$quant.75 <- rollapply(xts.obj$rtns,width=100, FUN='quantile', > p=0.75) > > seems to take forever... > > is there anything that data.table can do to speed things up? i.e. is there > a generic roll function that can be applied? > > perhaps a routine to convert an xts object to a data.table object to carry > out the function in a speeded up manner and then reconvert back to xts at > the end? > > thanks in advance > > hlm > _______________________________________________ > datatable-help mailing list > [email protected] > https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/datatable-help > _______________________________________________ datatable-help mailing list [email protected] https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/datatable-help
