mwsum

mwsum(Y, X, window, [minPeriods])

Please see mFunctions for the parameters and windowing logic.

Calculate the moving sums of X with Y as weights in a sliding window.

The weights in a rolling window are automatically adjusted so that the sum of weights for all non-NULL elements in the rolling window is 1.

X = 2 1 3 7 6 5 4
X1 = 2 1 3 NULL 6 5 4
Y = 1 0.5 1 1 2 2.1

mwsum(X, Y, 3);
// output
[,,5.5,10.5,22,29.5,24.5]

mwsum(X1, Y, 3)
// output
[,,5.5,3.5,15,22.5,24.5]

mwsum(X1, Y, 3, minPeriods=1)
// output
[2,2.5,5.5,3.5,15,22.5,24.5]

X = 1..10;
Y = 9 5 3 4 5 4 7 1 3 4;
X1 = indexedSeries(date(2020.06.05)+1..10, X)
Y1 = indexedSeries(date(2020.06.05)+1..10, Y)
mwsum(X1, Y1, 5d)

mwsum(X1, Y1, 1w)

Related functions: wsum, msum.