roll_crossprod {roll}

Rolling Crossproducts

Description

A function for computing the rolling and expanding crossproducts of time-series data.

Usage

roll_crossprod(x, y = NULL, width, weights = rep(1, width),
  center = FALSE, scale = FALSE, min_obs = width, complete_obs = TRUE,
  na_restore = FALSE, online = TRUE)

Arguments

x

vector or matrix. Rows are observations and columns are variables.

y

vector or matrix. Rows are observations and columns are variables.

width

integer. Window size.

weights

vector. Weights for each observation within a window.

center

logical. If TRUE then the weighted mean of each variable is used, if FALSE then zero is used.

scale

logical. If TRUE then the weighted standard deviation of each variable is used, if FALSE then no scaling is done.

min_obs

integer. Minimum number of observations required to have a value within a window, otherwise result is NA.

complete_obs

logical. If TRUE then rows containing any missing values are removed, if FALSE then pairwise is used.

na_restore

logical. Should missing values be restored?

online

logical. Process observations using an online algorithm.

Value

A cube with each slice the rolling and expanding crossproducts.

Examples

n <- 15
x <- rnorm(n)
y <- rnorm(n)
weights <- 0.9 ^ (n:1)

# rolling crossproducts with complete windows
roll_crossprod(x, y, width = 5)

# rolling crossproducts with partial windows
roll_crossprod(x, y, width = 5, min_obs = 1)

# expanding crossproducts with partial windows
roll_crossprod(x, y, width = n, min_obs = 1)

# expanding crossproducts with partial windows and weights
roll_crossprod(x, y, width = n, min_obs = 1, weights = weights)