Rolling sum in Matlab

问题

I have an cross-sectional array with columns as prices for each date. I want to create another array with a rolling sum for window of 30 days. I would prefer not to use a for loop. Currently, I am using the following code for one column:

for i=31:n
 for j=i-30:i-1
  x = x + y(j)
 end
sum(i) = x
end

I need to this for all securities and thus the code will have to run multiple times for all elements in a dataset.

回答1:

Use a combination of cumsum's!

data = 1:10;
n = length(data);
window = 3;
rollSum = cumsum(data)-[zeros(1,window), cumsum(data(1:n-window))];
rollSum =

 1     3     6     9    12    15    18    21    24    27

1=1
1+2=3
1+2+3=6
  2+3+4=9
    3+4+5=12

回答2:

For each column x, You can convolve with a sequence of 30 ones, and then remove the initial and final transients:

N = 30;
y = conv(x,ones(N,1));
y = y(N:end-N+1);

If X is a matrix, you can similarly process all columns at the same time:

y = conv2(ones(N,1),1,X);
y = y(N:end-N+1,:);

回答3:

This can be very easy with filter.

Suppose you have a simple vector of ones:

x = ones(100,1);

Then we just a apply a filter on it like so:

filter(ones(1,30),1,x)

This also works if x is a matrix, for example ones(100,2).

回答4:

Starting Matlab 2016a there is command movsum

http://www.mathworks.com/help/matlab/ref/movsum.html

来源：https://stackoverflow.com/questions/18142720/rolling-sum-in-matlab