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rzoo
SkyWalker
SkyWalker

Reputation: 14309

How can I use zoo::rollapply to create a `rollscale` implementation?

I would like to implement the following rollscale function that scales (centers and normalizes i.e. subtract mu and divide by sigma) the dataset x but instead of doing it using a global mu and sigma they are computed within a rolling window on the seen data. I came out with the following but don't know how to define the function parameter on the third rollapplyr i.e. how do I know what the current position is?

library(zoo)
rollscale <- function(x, k) {
    mu <- rollapplyr(x, k, mean)
    sigma <- rollapplyr(x, k, sd)
    x <- rollapplyr(x, k, function(x) ???)              
}

The simple scale function would be:

scale <- function(x) {
    mu <- mean(x)
    sigma <- sd(x)
    x <- (x - mu)/sigma         
}

Upvotes: 0

Views: 291

Answers (1)

Joshua Ulrich
Joshua Ulrich

Reputation: 176648

You're making this more complicated than it is. You have a scale function, and you want to apply it on a rolling basis. This is exactly what rollapply does!

scale <- function(x) {
    mu <- mean(x)
    sigma <- sd(x)
    x <- (x - mu)/sigma         
}
scaled.data <- rollapplyr(Data, 5, scale)

Upvotes: 1

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