# I've read that rollapply, and its wrapper apply.rolling()
# from PerformanceAnalytics package, do not work with multivariate
# time series neither their output can be a multivariate time series.
# Then I was wondering if any other function like those exists, or
# if I need to write my own function to perform multivariate
# time serie rolling analysis.
# Something like this:
# Let 'X' be your multivariate time series:
# output <- matrix(NA, ncol = ncol(X), nrow = nrow(X))
# width <- 199
# for(i in 1:(nrow(output) - width) {
# data <- X[i:(i + width),]
# output[i,] <- function(data)
#}
# rownames(output) <- rownames(as.timeSeries(X))
# ...and this should be a (probably not efficient) way to do it.
# Any better idea?
# Thanks,
--
View this message in context:
http://r.789695.n4.nabble.com/Multivariate-apply-rolling-tp4636442.html
Sent from the R help mailing list archive at Nabble.com.
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
