Roll Variance

Apply a moving-window variance function to a numeric vector.

roll_var(x, width = 1L, by = 1L, align = c("center", "left", "right"))

Arguments

x

Numeric vector.

width

Integer width of the rolling window.

by

Integer shift by which the window is moved each iteration.

align

Character position of the return value within the window. One of: "left" | "center" | "right".

Value

Numeric vector of the same length as x.

Details

For every index in the incoming vector x, a value is returned that is the variance of all values in x that fall within a window of width width.

The align parameter determines the alignment of the return value within the window. Thus:

• align = "left" [*------] will cause the returned vector to have width - 1 NA values at the right end.

• align = "center" [---*---] will cause the returned vector to have NA values at either end as needed for centered alignment.

• align = "right" [------*] will cause the returned vector to have width - 1 NA values at the left end.

For large vectors, the by parameter can be used to force the window to jump ahead by indices for the next calculation. Indices that are skipped over will be assigned NA values so that the return vector still has the same length as the incoming vector. This can dramatically speed up calculations for high resolution time series data.

Note

A na.rm argument is not provided for roll_var() because the statistical meaning of variance computed from partially missing windows may be ambiguous.

Examples

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

x[1:10]
#>  [1] 13.032808  9.208778  9.413230 10.089091 10.075755  8.240968  9.507955
#>  [8] 10.704980 11.232667  9.767381
roll_var(x, width = 5)[1:10]
#>  [1]        NA        NA 2.3799242 0.5778580 0.5663223 0.8663507 1.3368015
#>  [8] 1.3368106 0.5067178 0.3060094