Could someone give me an idea on how to do rolling ranking, i.e. rank in the
moving window of last 100 numbers in a long vector? I tried naive solution
like
roll.rank<-function(v, len){
r<-numeric(length(v)-len+1)
for(i in len:length(v))
r[i-len+1]<-rank(v[(i-len+1):i])[len]
r
}
However, it turns out pretty slow even on my rather able Linux box. For
example, doing roll.rank(rnorm(50000), 100) takes 5 second, so for typical
data i operate which is matrices of the size 1000 x 50000 i will need to
wait 1.5 hours for one calculation. Does someone know a trick to properly do
it quicker?
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