a movjng average median

["Leeds, Mark" <mleeds@mlp.com>]

does anyone have or know of an easy way to calculate

the "windowLength" day moving median given a vector of numbers.

 

one can use filter to calculate the "windowLength" day moving average

as shown below but i can't think of a good way to

do the median.

 

"backwardsmovingaverage<-function(series,windowLength)

{

return(  c(filter( series, sides=1, filter=rep(1/windownlength,windowlength))))

}

 

thanks.

 

                                            mark