[R-SIG-Finance] rollapply and resulting index

[Brian Lee Yung Rowe]

Hi,

I was using rollapply on a zoo time series and the resulting zoo object
had index values that I wasn't expecting. I assumed (for better or
worse) that the index dates would be anchored to the last date in the
index as you would expect from a rolling moving average, but instead the
dates seemed to hover around the median. Is this the expected behavior?

Thanks,
Brian


> z <- zoo(11:15, as.Date(31:35))
> z
1970-02-01 1970-02-02 1970-02-03 1970-02-04 1970-02-05 
        11         12         13         14         15 
> rollapply(z, 2, mean)
1970-02-01 1970-02-02 1970-02-03 1970-02-04 
      11.5       12.5       13.5       14.5 
> rollapply(z, 3, mean)
1970-02-02 1970-02-03 1970-02-04 
        12         13         14 
> rollapply(z, 4, mean)
1970-02-02 1970-02-03 
      12.5       13.5 
> rollapply(z, 5, mean)
1970-02-03 
        13