Hi Guys,
I have a time series dataframe which looks like
20140205 20140206 20140207 20140212 20140214 20140217
20140218 20140219 ......
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] = 20140205 0.0379 , sample1[2] =20140212
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]
=20140206 0.0008 , sample2[2] =20140212 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
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