Guys, normally when you do something like:
tmp = zoo(rnorm(100), 1:100)
rollapply(tmp, 10, function(x) quantile(x, 0.05), align="right")
Quite rightly rollapply will start calculating the value from the moment 10 elements are available.
Unfortunately I need something that uses as much data as possible for the fist 10 observations, essentially a growing window of data till there is enough data to use a sliding window, e.g. 1, 1:2, 1:3, 1:4, etc. till we have at least 10 elements and then slide the window as usual.
Is there a better way to do this than an ugly for loop?
Why not just pad the series with 9 NAs at the beginning? Definitely better than "ugly for loops":
tmp = zoo(c(rep(NA,9), rnorm(100)), 1:109)
zoo(rollapply(tmp, 10, function(x) quantile(x, 0.05, na.rm = TRUE),
align="right"), 1:100)
rollapply in zoo can do that by specifying partial=TRUE, e.g.
> library(zoo)
>
> rollapplyr(zoo(1:20), 3, sum, partial=TRUE)
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
1 3 6 9 12 15 18 21 24 27 30 33 36 39 42 45 48 51 54 57
来源：https://stackoverflow.com/questions/4829919/rollapply-with-growing-window