IMW

The IMW-package implements a method for calculating the rolling statistics mean, variance, skewness, and kurtosis. Furthermore, it provides a function for updating these statistics as new information is received, allowing for online/batch calculation of these statistics.

Installation

The IMW-package depends on R (>= 4.0.1) and Rcpp (>= 1.0.4.6). As the package is not available on CRAN, remotes is needed to install the package from github.

From R, run the following commands:

install.packages("Rcpp")

if (!requireNamespace("remotes", quietly = TRUE)) {
    install.packages("remotes")
}

remotes::install_github("svilsen/IMW")

Usage

A series of 100 observations is generated randomly, and the rolling mean, variance, skewness, and kurtosis are calculated using a window size of 10.

## Initial set-up
# 
set.seed(1234)

# Observed data
N <- 100
x <- cumsum(rnorm(N))

# Window size
k <- 10

# Calculating rolling statistics using window size 'k'
mw <- imw(x, k)

#
plot(mw, xlim = c(1, 150))

Subsequently, a new batch of 50 observations are observed, and the rolling statistics are updated given this additional information.

## Updating moments
# Additional data
M <- 50
y <- cumsum(c(tail(x, 1), rnorm(M)))[-1]

# Update the moments using new information
umw <- uimw(mw, y)

#
plot(umw, xlim = c(1, 150))

License

This project is licensed under the MIT License.