Speed Tests for Rolling/Running Functions

July 8, 2014

(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers)

I use rolling and running functions almost daily with financial time series. In my post A Whole New World with Chains and Pipes, I made this statement I have noticed that rolling analysis with xts can sometimes be slow. as.matrix is my favorite way to speed things up, since I usually do not need xts powerful indexing and subsetting features. I felt like I be a little more thorough, so I put

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