tsEvaNanRunningPercentiles {RtsEva}

tsEvaNanRunningPercentiles

Description

Computes a running percentile for a given series using a window with a specified size.

Usage

tsEvaNanRunningPercentiles(timeStamps, series, windowSize, percent)

Arguments

timeStamps

The timestamps of the series.

series

The input series.

windowSize

The size of the window for the running percentile. Must be greater than or equal to 100.

percent

The percent level to which the percentile is computed.

Details

This function computes a running percentile for a given series using a window with a specified size. The running percentile is computed by interpolating the percentile value for the requested percentage based on the quitting values and incoming values in the window. The function also performs smoothing on the output and calculates the standard error.

The function uses the following label parameters:

percentDelta

Delta for the computation of a percentile interval around the requested percentage. If the windowSize is greater than 2000, percentDelta is set to 1. If the windowSize is between 1000 and 2000, percentDelta is set to 2. If the windowSize is between 100 and 1000, percentDelta is set to 5.

nLowLimit

Minimum number of non-NA elements for a window for percentile computation

Value

A list containing the approximated running percentile (rnprcnt) and the standard error (stdError).

Examples

timeAndSeries <- ArdecheStMartin
timeStamps <- ArdecheStMartin[,1]
series  <- ArdecheStMartin[,2]
windowSize <- 365
percent <- 90
result <- tsEvaNanRunningPercentiles(timeStamps, series, windowSize, percent)
print(result$rnprcnt)
print(result$stdError)