slideWeight {BurStFin}

Generate Time Weights Flexiibly

Description

Returns a vector of weights between 1 and 0 (inclusive). The general form is: some recent weights are 1, some early weights are 0, and weights between these vary linearly. It is allowable for no points to be specified as 0 or 1.

Usage

slideWeight(n, fractions = c(0, 1), observations = NULL, 
	locations = NULL)

Arguments

n

the length of the result – the number of observations.

fractions

length 2 numeric vector giving the fraction of the way between 0 and n where the ends of the linear slide should be. There is no requirement that the fractions need to be between 0 and 1.

This is ignored if observations or locations is given.

observations

length 2 numeric vector giving the number of observations that should be 1 and the number of observations that should have any weight. The smaller is taken to be the former and the larger as the latter.

locations

length 2 numeric vector giving the locations (subscripts) for the ends of the linear slide. The smaller number is the index of the last 0, the larger is the index of the last value smaller than 1.

Value

a numeric vector of length n with values within the range of 0 and 1 (inclusive). The values are non-decreasing – meaning put more weight on more recent observations.

Details

The arguments fractions, observations and locations are all to control where the ends of the weights strictly between 0 and 1 are. Only one of them is used. locations takes precedence. fractions is used if neither of the other two are given.

This is suitable to give as the weights argument to var.shrink.eqcor and factor.model.stat.

Revision

This help was last revised 2014 March 09.

See Also

var.shrink.eqcor, factor.model.stat.

Examples

# examples assume number of observations is 200

# all weights either 0 or 1
rollwin50 <- slideWeight(200, observations=c(50,50))

# 50 with full weight, 100 more with partial weight
swght50.150 <- slideWeight(200, observations=c(50, 150))

# approximately default weights of var.shrink.eqcor and factor.model.stat
lindec3 <- slideWeight(200, fractions=c(-1/2, 3/2))