cwarny cwarny - 8 months ago 48
R Question

Moving average with varying time window in R

I want to compute a moving average over a certain time window without generating NAs at the beginning of the time series. For instance, if I set the time window to 3, the 2 first observations will have NAs. What I want is to have a time window of 1 for the first observation, 2 for the second observation, and then 3 for all the remaining observations.

My current code:

#example data
x <- c(3,9,2,8,4,6,5,8)
#moving average with time window of length 3
(ma3 <- filter(x,rep(1/3,3),sides=1))


I don't see a way other than brute-force:

Using rollapply from package zoo instead of filter:

c(x[1], mean(x[1:2]), rollapply(x, width=3, FUN=mean))