Question

我想得到n天的谐波平均值

例如

a <-c（1,2,3,4,5,6,7,8,9,10,11,12,13,14,15）

assuming month end is `3, 6, 9 ,12`

If n = 2, i want to get the harmonic mean of 

1,2,3,4,5 (t-2~ t+2 with midpoint 3)
4,5,6,7,8 (t-2~ t+2 with midpoint 6) and so on

if n = 1 it would be
harmonic mean of 2,3,4 for month-end :3

我的每日收益为xts。我要做的就是得到n天的调和平均值。谢谢

Answer 1

我不清楚您要做什么。我假设您要计算具有固定窗口宽度n的滚动谐波平均值；为此，我们可以使用zoo::rollapplyr

n <- 5
rollapplyr(a, width = n, FUN = function(x) 1 / mean(1 / x), fill = NA)
#[1]        NA        NA        NA        NA  2.189781  3.448276  4.575163
#[8]  5.652759  6.705695  7.744315  8.773818  9.797130 10.816035 11.831685
#[15] 12.844861

R的滚动谐波平均值（n天数）

1 个答案: