Surprisingly Slow Standard Deviation in R

Question

I am calculating standard deviations on an expanding window where at each point I recalculate the standard deviation. This seems like a fairly straightforward thing to do t

Answer 1

When a somewhat similar question about a cumulative variance and a cumularive kurtosis operation came up in rhelp a few days ago, here is what I offered :

daily <- rnorm(1000000)
mbar <- mean(daily)
cumvar <-  cumsum( (daily-cumsum(daily)/1:length(daily) )^2)
cumskew <- cumsum( (daily-cumsum(daily)/1:length(daily))^3)/cumvar^(3/2)

It's certainly faster than the sapply method but may be comparable to Aaron's.

 system.time( cumvar <-  cumsum( (daily-cumsum(daily)/1:length(daily) )^2) )
   user  system elapsed 
  0.037   0.026   0.061 
 system.time(cumsd <- sqrt(cumvar) )
   user  system elapsed 
  0.009   0.005   0.013