Rolling statistics

The following makes use of the zoo package. You may need to install it from CRAN using the code install.packages("zoo") if you want to run this on your computer. (The package is already installed on the notebook container, however.)

library(zoo)

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

The file “zpresidents.RData” was created in an earlier example.

load("zpresidents.RData")

zpresidents.o <- na.omit(zpresidents)

zpresidents.o8 <- zpresidents.o[1:8]

rollmean(zpresidents.o8,k=7)

 1946 Q1  1946 Q2 
61.71429 54.28571 

rollmean(zpresidents.o8,k=7,align="left")

 1945 Q2  1945 Q3 
61.71429 54.28571 

rollmean(zpresidents.o8,k=7,align="right")

 1946 Q4  1947 Q1 
61.71429 54.28571 

zpresidents.s <- na.spline(zpresidents)
plot(zpresidents.s,lty=3)
/book/data-management-r/07-dates-times-timeseries/rolling-statistics/7d2003c96347eb1ab1f76a19d354c9b3bd7cd17c0745c058842fd1f467255021.png 
zpresidents.m <- rollmean(zpresidents.s,k=9)
plot(zpresidents.s,lty=3)
lines(zpresidents.m,lwd=2)
/book/data-management-r/07-dates-times-timeseries/rolling-statistics/dedb36bcbf0000f611ee7187e7aafec25f9f5281540a4e305da7737b2c6f3496.png 
zpresidents.sd <- rollapply(zpresidents.s,
                            width=9,
                            FUN=sd)

tv <- qt(.975,df=8)
zpresidents.u <- zpresidents.m+tv*zpresidents.sd/sqrt(8)
zpresidents.l <- zpresidents.m-tv*zpresidents.sd/sqrt(8)

plot(zpresidents.m,ylim=c(20,80))
lines(zpresidents.u,lty=2)
lines(zpresidents.l,lty=2)
/book/data-management-r/07-dates-times-timeseries/rolling-statistics/05f67157163b6b28f2d5514b6981e47a6cbc968fb93302b526656d5d4cb2a94c.png