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R-USERS-L  2014

R-USERS-L 2014

Subject:

Need help on Rolling standard deviation with jump

From:

"Bhattacharya,Souvik" <[log in to unmask]>

Reply-To:

UF R Users List <[log in to unmask]>

Date:

Sun, 31 Aug 2014 07:10:48 -0400

Content-Type:

text/plain

Parts/Attachments:

Parts/Attachments

text/plain (30 lines)

Hi Guys,

I have a time series dataframe which looks like

2014-02-05 2014-02-06 2014-02-07 2014-02-12 2014-02-14 2014-02-17 
2014-02-18 2014-02-19 ......
     0.0379    -0.0008     0.0352     0.0379     0.0392     0.0173     
0.0360     0.0371

I want to compute moving standard deviation for every 5th day data from 
this list. What I mean is that, I wish to select a sample in the form 
such that sample1[1] = 2014-02-05  0.0379 , sample1[2] =2014-02-12 
0.0379.....and then find the std dev of this sample and then use a 
rolling standard deviation to move on to the next date i.e. sample2[1] 
=2014-02-06  -0.0008 , sample2[2] =2014-02-12 0.0379 and find the 
standard deviation of this list and so on. Since day available is 
irregular, I cannot use seq(1:l, by = ). In rollapply, the function 
would take every consecutive numbers to compute the standard deviation. 
Is there a way to sample every 5th day data from this list in an 
efficient way, or modify the standard deviation function somehow, to 
make it select every 5th day data and then compute the standard 
deviation on the available data. Any suggestion in this regard will be 
highly appreciated.

Thanks
Souvik

This list strives to be beginner friendly.  However, we still ask that you
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.

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