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roll

Version 1.2.0

• Implemented efficient algorithms for roll_median and roll_quantile functions

• Fixed an issue for weights argument if single value (#45)

Version 1.1.7

• New roll_crossprod function for computing rolling and expanding crossproducts of time-series data

• Restructured the C++ header files to be used by other packages

Version 1.1.5

• Added hex sticker and improved documentation (#27, #28, #30)

• New roll_quantile function for computing rolling and expanding quantiles of time-series data

  • Note: roll_quantile function is not calculated using an online algorithm

• Fixed an issue in the roll_min and roll_max functions (#32)

Version 1.1.4

• Fixed issues related to floating point arithmetic (#23, #24)

Version 1.1.3

• Added vector support to each function (#20)

• Implemented efficient algorithms for roll_min and roll_max functions

• New roll_idxmin and roll_idxmax functions for computing rolling and expanding indices of minimums and maximums, respectively, of time-series data (#22)

Version 1.1.2

• New roll_median, roll_min, roll_max, roll_any, and roll_all functions for computing rolling and expanding medians, minimums, maximums, any, and all, respectively, of time-series data (#4, #13, #14)

  • Note: roll_median, roll_min, and roll_max functions are not calculated using online algorithms

Version 1.1.1

• Added online argument to process observations using online algorithms by default

• roll_lm function now returns standard errors (#7)

• Simplified checks for width and min_obs arguments (#3)

• Added y argument to roll_cov and roll_cor functions (#2)

• Deprecated less common functions (roll_eigen, roll_vif, and roll_pcr) and arguments (scale and center in the roll_lm function); also removed the parallel_for argument in favor of a new approach used internally

Version 1.0.7

• New roll_sum and roll_prod functions for computing rolling and expanding sums and products, respectively, of time-series data

Version 1.0.6

• Added intercept argument to roll_lm and roll_pcr functions

Version 1.0.5

• Fixed an issue in the src/Makevars and src/Makevars.win files (#1)

Version 1.0.4

• roll_lm and roll_pcr functions have been enhanced:

  • y can now be a matrix or xts object with multiple dependent variables

  • Added shorthand arguments for center and scale

• New roll_scale function for computing rolling and expanding scaling and centering of time-series data

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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