Efficient Rolling Functions.

MazamaRollUtils

A suite of utility functions for calculating rolling mins, means, 
maxes and other functions.

Background

Analysis of time series data often involves applying "rolling" functions to calculate, e.g. a "moving average". These functions are straightforward to write in any language and it makes sense to have C++ versions of common rolling functions available to R as they dramatically speed up calculations. Several packages exist that provide some version of this functionality:

• zoo -- core R package with a specific data model
• seismicRoll -- rolling functions focused on seismology
• RcppRoll -- rolling functions for basic statistics

Our goal in creating a new package of C++ rolling functions is to build up a suite of functions useful in environmental time series analysis. We want these functions to be available in a neutral environment with no underlying data model. The functions are as straightforward to use as is reasonably possible with a target audience of data analysts at any level of R expertise.

Installation

Install from CRAN with:

install.packages('MazamaRollUtils')

Install the latest version from GitHub with:

devtools::install_github("MazamaScience/MazamaRollUtils")

Examples

library(MazamaRollUtils)

# Example air quality time series
t <- example_pm25$datetime
x <- example_pm25$pm25

plot(t, x)
lines(t, roll_max(x, width = 12), col = 'salmon')
lines(t, roll_min(x, width = 12), col = 'light blue')

This project is supported by Mazama Science.