Package RcppRoll. December 22, 2014

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1 Type Package Package RcppRoll December 22, 2014 Title Fast rollig fuctios through Rcpp ad RcppArmadillo Versio Date Author Kevi Ushey Maitaier Kevi Ushey RcppRoll supplies fast fuctios for 'roll'ig over vectors ad matrices, e.g. rollig meas, medias ad variaces. It also provides the utility fuctios 'rollit' ad 'rollit_raw' as a iterface for geeratig your ow C++ backed rollig fuctios. Licese GPL (>= 2) Depeds R (>= ), Rcpp (>= ), RcppArmadillo (>= ) Suggests zoo, microbechmark LikigTo Rcpp, RcppArmadillo Collate 'package_descriptio.r' 'RcppEports.R' 'roll_mea.r' 'roll_sum.r' 'roll_var.r' 'roll_sd.r' 'roll_prod.r' 'roll_media.r' 'roll_ma.r' 'roll_mi.r' 'get_rollit_source.r' 'rollit_eample.r' 'rollit_raw.r' 'rollit.r' Repository CRAN Date/Publicatio :36:24 NeedsCompilatio yes R topics documeted: get_rollit_source RcppRoll rollit rollit_eample rollit_raw roll_ma

2 2 RcppRoll roll_mea roll_media roll_mi roll_prod roll_sd roll_sum roll_var Ide 13 get_rollit_source Get ad Edit Source File Associated with User-Geerated rollit Fuctio This fuctio returs ad opes the source file associated with a particular rollit fuctio for debuggig. We use R s file.edit iterface. fu edit get_rollit_source(fu, edit = TRUE, RStudio = FALSE,...) RStudio The geerated rollit fuctio. boolea; ope the C++ source file i a tet editor? boolea; ope the C++ source file i RStudio?... Optioal argumets passed to file.edit. RcppRoll RcppRoll This package implemets a umber of roll -ig fuctios for R vectors ad matrices. Details Curretly, the eported fuctios are: roll_ma roll_mea roll_media roll_mi

3 rollit 3 roll_prod roll_sd roll_sum roll_var See Also rollit for roll -ig your ow custom fuctios. rollit Geerate your ow Weighted C++ Roll Fuctio Usig this iterface, you ca defie a fuctio that you would like to be called o each sub-vector you are rollig over. The geerated code is compiled ad eposed via sourcecpp. fu rollit(fu = "", vector = FALSE, cost_vars = NULL, combie = "+", fial_tras = NULL, icludes = NULL, depeds = NULL, ilie = TRUE, ame = NULL,...) vector cost_vars A character strig defiig the fuctio call. The fuctio must be i terms of. The fuctio will be applied idividually to each elemet beig roll ed over, uless vector is TRUE. boolea; if TRUE, the fu is a scalar-valued fuctio of a vector, rather tha a fuctio to apply to each elemet idividually. Costat variables that will live withi the sourced C++ fuctio. Format is a amed list; e.g, you could pass list(e=ep(1)) to have e as a costat variable available i the fuctio beig called. that the variable N is fied to be the umber of o-zero weights passed, to facilitate the use of 0 weights i terms of skippig elemets. combie character; typically oe of "+", "-", "*", "/", but ay operator usable as a C++ compoud assigmet operator is accepted. This specifies how each elemet should be combied i the rollig fuctio. Oly used whe vector is FALSE. fial_tras icludes depeds A fial trasformatio to perform after either rollig over each elemet i the vector (with vector=false), or after applyig a scalar-valued fuctio of a vector (with vector=true). Must be i terms of. Other C++ libraries to iclude. For eample, to iclude boost/math.hpp, you would pass c("<boost/math.hpp>"). Other libraries to lik to. Likig is doe through Rcpp attributes.

4 4 rollit ilie ame Details boolea; mark the fuctio geerated as ilie? This may or may ot icrease eecutio speed. strig; a ame to iterally assig to your geerated C++ fuctios.... Additioal argumets passed to sourcecpp. By default, we iclude <Rcpp.h> i each file; however, you ca iclude your ow libraries with the icludes call. Value A wrapper R fuctio to compiled C++ files, as geerated through sourcecpp. See rollit_eample for more iformatio o the fuctios geerated by rollit. All fuctios geerated use Rcpp s NumericVector ad NumericMatri to iterface with R vectors ad matrices. Elemets withi these vectors are traslated as doubles so ay fuctio that receives a double will work fie. See Also If you wat to just write your ow C++ fuctio to wrap ito a rollig iterface, see rollit_raw. rollit_eample for a eample of the fuctio sigature for fuctios geerated with rollit, sourcecpp for iformatio o how Rcpp compiles your fuctios, get_rollit_source for ispectio of the geerated C++ code, ad rollit_raw for wrappig i your ow C++ code. Eamples ## Not ru: <- matri(1:16, row=4) ## the squared rollig sum -- we square the sum of our rolled results rollig_sqsum <- rollit( fial_tras="*" ) rollig_sqsum(, 4 ) rollig_sqsum(, 4, by.colum=false ) cbid( as.vector(rollig_sqsum(, 4)), apply(, 2, fuctio() { sum()^2 } ) ) ## implemet your ow variace fuctio ## we ca use the sugar fuctio mea to get ## the mea of cost_vars <- list(m = "mea()") var_fu <- "( (-m) * (-m) )/(N-1)" rollig_var <- rollit( var_fu, cost_vars=cost_vars ) <- c(1, 5, 10, 15) cbid( rollig_var(, 2), roll_var(, 2) )

5 rollit_eample 5 ## use a fuctio from cmath rollig_log10 <- rollit( "log10()" ) rollig_log10( 10^(1:5), 2 ) ## rollig product rollig_prod <- rollit( combie="*" ) rollig_prod( 1:10, 2 ) ## usig weights to specify somethig like a by argumet rollig_prod( 1:10, 3, weights=c(1,0,1) ) ## a bechmark if( require("microbechmark") && require("zoo") ) { <- rorm(1e4) microbechmark( rollig_var(, 100), roll_var(, 100), rollapply(, 100, var), times=10 ) } ## Ed(Not ru) rollit_eample rollit Output Eample Fuctio This presets the fuctio sigature for the output of rollit. rollit_eample(,, by.colum, weights, ormalize = FALSE) by.colum weights A vector/matri of umeric type. iteger; the widow / subset size to roll over. boolea; if TRUE we loop over colums, otherwise we loop over rows. a vector of legth ; specify the weightig to assig to each elemet i the widow. ormalize boolea; if TRUE we ormalize the weights to sum to 1.

6 6 rollit_raw Value This fuctio does ot retur aythig; it merely eists as a skeleto to provide documetatio for your ow rollit geerated fuctios. Elemets i weights equal to 0 are skipped, so that e.g. settig weights = c(1,0,1,0,1) would skip every 2d ad 4th elemet i each legth-5 widow. See Also rollit rollit_raw Geerate your ow Weighted C++ Roll Fuctio Usig this, you ca write ad wrap i your ow C++ fuctio. rollit_raw(fu, depeds = NULL, icludes = NULL, ilie = TRUE, ame = NULL, additioal = NULL,...) fu icludes depeds ilie ame additioal A character strig defiig the fuctio call. See eamples for usage. Other C++ libraries to iclude. For eample, to iclude boost/math.hpp, you would pass c("<boost/math.hpp>"). Other libraries to lik to. Likig is doe through Rcpp attributes. boolea; mark this fuctio as ilie? This may or may ot icrease eecutio speed. strig; a ame to iterally assig to your geerated C++ fuctios. Other C++ code you wat to iclude; e.g. helper fuctios. This code will be iserted as-is above the code i fu.... Optioal argumets passed to sourcecpp.

7 rollit_raw 7 Details The sigature of fu is fied as: double <ame>( NumericVector&, NumericVector& where weights, cost it&, cost it& N, cost it& id) X_SUB is a #defie macro that epads to the sub-vector beig rolled over, X(i) is a #defie macro that epads to the curret elemet of X_SUB i a loop beig rolled over, is a referece to the etire vector (ot just the sub-vector beig rolled over), weights are the weights, is the widow size, N is the umber of o-zero weights passed, id is the curret positio alog vector. Because the variables are beig passed by referece, you should ot modify them, uless you re prepared for strage behavior. See eamples for a potetial usage. Eamples ## Not ru: ## implemet a weighted rollig sum of squares fu <- " double out = 0; cost double m = mea( X_SUB ); for( it i=0; i < ; i++ ) { out += weights[i] * ( (X(i)-m) * (X(i)-m) ) / (N-1); } retur out; " rollig_var <- rollit_raw( fu ) <- 1:5 rollig_var(, 5 ) == var() ## a (slow-ish) implemetatio of rollig kurtosis fu <- " double umerator = 0; double deomiator = 0; cost double m = mea( X_SUB ); for( it i=0; i < ; i++ ) { double tmp = ( X(i) - m ) * ( X(i) - m ); umerator += tmp * tmp; deomiator += tmp; } retur N * umerator / ( deomiator * deomiator ); " rollig_kurt <- rollit_raw( fu ) <- rorm(100)

8 8 roll_mea rollig_kurt(, 20) ## Ed(Not ru) roll_ma Rollig Ma This fuctio implemets a rollig ma with C++/Rcpp. roll_ma(,, by.colum = TRUE, weights = rep(1, ), ormalize = FALSE) A R object of form: umeric vector, umeric matri. iteger; the widow / subset size to roll over. by.colum boolea; if TRUE we loop over colums, otherwise we loop over rows. weights A umeric vector of weights of same legth as. ormalize boolea; if TRUE, we ormalize the weight of vectors supplied. Elemets i weights equal to 0 are skipped. roll_mea Rollig Mea This fuctio implemets a rollig mea with C++/Rcpp. roll_mea(,, by.colum = TRUE, weights = rep(1, ), ormalize = FALSE)

9 roll_media 9 A R object of form: umeric vector, umeric matri. iteger; the widow / subset size to roll over. by.colum boolea; if TRUE we loop over colums, otherwise we loop over rows. weights A umeric vector of weights of same legth as. ormalize boolea; if TRUE, we ormalize the weight of vectors supplied. Elemets i weights equal to 0 are skipped. roll_media Rollig Media This fuctio implemets a rollig media with C++/Rcpp. roll_media(,, by.colum = TRUE) by.colum A R object of form: umeric vector, umeric matri. iteger; the widow / subset size to roll over. boolea; if TRUE we loop over colums, otherwise we loop over rows. roll_mi Rollig Mi This fuctio implemets a rollig mi with C++/Rcpp. roll_mi(,, by.colum = TRUE, weights = rep(1, ), ormalize = FALSE)

10 10 roll_prod A R object of form: umeric vector, umeric matri. iteger; the widow / subset size to roll over. by.colum boolea; if TRUE we loop over colums, otherwise we loop over rows. weights A umeric vector of weights of same legth as. ormalize boolea; if TRUE, we ormalize the weight of vectors supplied. Elemets i weights equal to 0 are skipped. roll_prod Rollig Prod This fuctio implemets a rollig prod with C++/Rcpp. roll_prod(,, by.colum = TRUE, weights = rep(1, ), ormalize = FALSE) A R object of form: umeric vector, umeric matri. iteger; the widow / subset size to roll over. by.colum boolea; if TRUE we loop over colums, otherwise we loop over rows. weights A umeric vector of weights of same legth as. ormalize boolea; if TRUE, we ormalize the weight of vectors supplied. Elemets i weights equal to 0 are skipped.

11 roll_sd 11 roll_sd Rollig Sd This fuctio implemets a rollig sd with C++/Rcpp. roll_sd(,, by.colum = TRUE, weights = rep(1, ), ormalize = FALSE) by.colum A R object of form: umeric vector, umeric matri. iteger; the widow / subset size to roll over. boolea; if TRUE we loop over colums, otherwise we loop over rows. weights A umeric vector of weights of same legth as. ormalize boolea; if TRUE, we ormalize the weight of vectors supplied. Elemets i weights equal to 0 are skipped. roll_sum Rollig Sum This fuctio implemets a rollig sum with C++/Rcpp. roll_sum(,, by.colum = TRUE, weights = rep(1, ), ormalize = FALSE) by.colum A R object of form: umeric vector, umeric matri. iteger; the widow / subset size to roll over. boolea; if TRUE we loop over colums, otherwise we loop over rows. weights A umeric vector of weights of same legth as. ormalize boolea; if TRUE, we ormalize the weight of vectors supplied.

12 12 roll_var Elemets i weights equal to 0 are skipped. roll_var Rollig Var This fuctio implemets a rollig var with C++/Rcpp. roll_var(,, by.colum = TRUE, weights = rep(1, ), ormalize = FALSE) by.colum A R object of form: umeric vector, umeric matri. iteger; the widow / subset size to roll over. boolea; if TRUE we loop over colums, otherwise we loop over rows. weights A umeric vector of weights of same legth as. ormalize boolea; if TRUE, we ormalize the weight of vectors supplied. Elemets i weights equal to 0 are skipped.

13 Ide file.edit, 2 get_rollit_source, 2, 4 RcppRoll, 2 RcppRoll-package (RcppRoll), 2 roll_ma, 2, 8 roll_mea, 2, 8 roll_media, 2, 9 roll_mi, 2, 9 roll_prod, 3, 10 roll_sd, 3, 11 roll_sum, 3, 11 roll_var, 3, 12 rollit, 3, 3, 5, 6 rollit_eample, 4, 5 rollit_raw, 4, 6 sourcecpp, 4 13