rolling window - how to skip NA months?, coercing times series to list

["Sin, Wingee BGI SF" <Wingee.Sin@barclaysglobal.com>]

Dear all,

I have two splus questions that I would appreciate some advice on:

1) I am trying to run a function on a rolling window basis, and have
constructed 2 loops; unfortunately, the start dates of my time series
all vary; as such, I am trying to do an "if is.na" then skip to the next
month with the loop.
- I can't use Aggregate / Roll to help with this, as my function return
more than one object

2) my second problem is that for my function "SolveStyleAnalysis" - the
X and y needs to be numerical matrix and vector respectively.
Unfortunately, if I feed in a time series, splus tells me that it
"Cannot coerce mode list to double". I only have this issue if I feed in
time series as I have tried feeding in dataframe directly, and it works
just fine. Unfortunately I need to do this in times series so that my
data is properly indexed.

- does anyone have any suggestions on how I can handle these two issues?
- SolveStyleAnalysis is a function that runs a constrained regression
(using NuOpt)

Here is my little code so far: 

fofid <- colIds(fof.ts) #create list of fofids to loop thru
dt <- timeSequence("1/31/1978" ,"12/31/2005" , by = "months")

for (fofid in fofid) {
for (dtcount in length(dt)) {
        m <- dt[dtcount]
        if(is.na(fof.ts[m-36:m, fofid])) NA
        else
        y <- as.numeric(fof.ts[m-36:m, fofid]) #set y as vector of rtn
data for 36 mths
        X <- numerical.matrix(hfstyle.ts[m-36:m,],) #set x as matrix of
style rtn data for 36 mths
        SolveStyleAnalysis(X,y)
}
}

Thank you for your help in advance! 

Wingee 
 
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