rolling_mean.R

# Inspired by Aman Verma's work in rcaaqs

rolling_mean <- function(x, width, thresh = width) {
  avail <- !is.na(x)
  x[is.na(x)] <- 0
  rolled_sum <- cumsum(x) - dplyr::lag(cumsum(x), width, default = 0)
  rolled_avail <- cumsum(avail) - dplyr::lag(cumsum(avail), width, default = 0)
  ret <- rolled_sum / rolled_avail
  ret[rolled_avail < thresh] <- NA
  ret
}

set.seed(42)

foo <- rnorm(20)

rolling_mean(foo, 3)