ENH: windowed operations

[sglyon]

@quinnj -- I'm doing it -- I'm opening this issue :)

I think we can figure out ˙how to do this properly and I opened up the issue to give us a platform for bouncing around ideas.

I'm hoping to dig into SQLite.jl and Tables.jl sooner rather than later, so hopefully I'll be able to contribute to the discussion before too long.

[Sean1708]

Hi @spencerlyon2, sounds like you've already been chatting to @quinnj about this, but just to be clear do you mean something similar to Postgres' window functions?

[sglyon]

Hi @Sean1708, yes @quinnj and I chatted a bit about this.

I honestly am not familiar with postgres' window functions, but from the quick look at the docs it seems like that would do the job for me.

The use case I showed @quinnj was to compute sigma(p_{t+h} - p_t | \omega^t, W) as given by the following:

Here q, sigma_q, r and sigma_r are all time series and would be columns in a table. h would be a constant integer, like 8 or 12.

[Sean1708]

Hmm, I'll see if I can whip up a simple implementation in the next week or two. Then at least we'll have a starting point and we can build on it from there.

[Sean1708]

I apologise that this has been such a long time coming, other priorities got in the way slightly. I whipped up a very simple implementation last weekend in #70, could you have a look at that and see if this is the kind of thing you were looking for please?