rollapply with function that returns more than one value

Question

Say I want to use rollapply with a function that returns more than on value. Like this:

library(quantmod)
getSymbols("YHOO")

openYHOO <- YHOO[1:10,1]

rollapply(openYHOO, width = 2, range)

I get an error. I also tried merging the results inside the function:

rollapply(openYHOO, width = 2, function(x) {
  cbind(range(x))
})

rollapply(openYHOO, width = 2, function(x) {
  merge(range(x))
})

More errors.
I can do this:

cbind(
  rollapply(openYHOO, width = 2, function(x) {
    range(x)[1]
  }),
  rollapply(openYHOO, width = 2, function(x) {
    range(x)[2]
  })
)

...and it works.

However, what if I want to call fivenum or use something much more complicated and computationally intensive in the fun argument? Do I have to call rollapply for each value that I want to return, generating the same object over and over again?

Am I missing something or should I abandon rollapply and roll my own rolling window function?

Can you explain why this rollapply(openYHOO, width = 2, range) does not work?

score 4 · Accepted Answer · answered Aug 21 '15 at 02:29

Use the by.column argument

rollapply(openYHOO, width=2, range, by.column=FALSE)
#            [,1]  [,2]
#2007-01-03    NA    NA
#2007-01-04 25.64 25.85
#2007-01-05 25.64 26.70
#2007-01-08 26.70 27.70
#2007-01-09 27.70 28.00
#2007-01-10 27.48 28.00
#2007-01-11 27.48 28.76
#2007-01-12 28.76 28.98
#2007-01-16 28.98 29.88
#2007-01-17 29.40 29.88

> rollapply(openYHOO, width=2, 
            function(x) fivenum(as.numeric(x)), 
            by.column=FALSE)
#            [,1]  [,2]   [,3]  [,4]  [,5]
#2007-01-03    NA    NA     NA    NA    NA
#2007-01-04 25.64 25.64 25.745 25.85 25.85
#2007-01-05 25.64 25.64 26.170 26.70 26.70
#2007-01-08 26.70 26.70 27.200 27.70 27.70
#2007-01-09 27.70 27.70 27.850 28.00 28.00
#2007-01-10 27.48 27.48 27.740 28.00 28.00
#2007-01-11 27.48 27.48 28.120 28.76 28.76
#2007-01-12 28.76 28.76 28.870 28.98 28.98
#2007-01-16 28.98 28.98 29.430 29.88 29.88
#2007-01-17 29.40 29.40 29.640 29.88 29.88

This works. Thanks. Not what I expect from the help document description of "by.column logical. If TRUE, FUN is applied to each column separately." But the example in the doc does show the behavior I'm looking for. Adapted for my example: `rollapply(openYHOO, width = 3, FUN = function(x) coef(lm(x ~ seq_along(x))), by.column = FALSE, align = "right")` — brandco, Aug 21 '15 at 14:58

rollapply with function that returns more than one value

1 Answers1