在多列数据上使用rollapply和lm [英] Using rollapply and lm over multiple columns of data

问题描述

我有一个类似于以下的数据框，共有500列:

I have a data frame similar to the following with a total of 500 columns:

Probes <- data.frame(Days=seq(0.01, 4.91, 0.01), B1=5:495,B2=-100:390, B3=10:500,B4=-200:290)

我想计算一个滚动窗口线性回归，其中我的窗口大小为12个数据点，而每个顺序回归都由6个数据点分隔.对于每次回归，天"将始终是模型的x分量，而y将是其他所有列(B1，B2，B3等).然后，我想将系数与现有列标题(B1，B2等)一起保存为数据框.

I would like to calculate a rolling window linear regression where my window size is 12 data points and each sequential regression is separated by 6 data points. For each regression, "Days" will always be the x component of the model, and the y's would be each of the other columns (B1, followed by B2, B3, etc). I would then like to save the co-efficients as a dataframe with the existing column titles (B1, B2, etc).

我认为我的代码很接近，但是不能正常工作.我使用了来自动物园图书馆的rollapply.

I think my code is close, but is not quite working. I used rollapply from the zoo library.

slopedata<-rollapply(zoo(Probes), width=12, function(Probes) { 
 coef(lm(formula=y~Probes$Days, data = Probes))[2]
 }, by = 6, by.column=TRUE, align="right")

如果可能的话，我也想将"xmins"保存到向量中以添加到数据帧中.这意味着每次回归中使用的最小x值(基本上是天"列中的每6个数字.) 感谢您的帮助.

If possible, I would also like to have the "xmins" saved to a vector to add to the dataframe. This would mean the smallest x value used in each regression (basically it would be every 6 numbers in the "Days" column.) Thanks for your help.

推荐答案

1)定义一个动物园对象z，其数据包含Probes，并且其索引来自探针"的第一列，即Days.注意lm允许y作为矩阵，定义了coefs函数，该函数计算回归系数.最后是rollapply而不是z.请注意，返回对象的索引为xmin.

1) Define a zoo object z whose data contains Probes and whose index is taken from the first column of Probes, i.e. Days. Noting that lm allows y to be a matrix define a coefs function which computes the regression coefficients. Finally rollapply over z. Note that the index of the returned object gives xmin.

library(zoo)

z <- zoo(Probes, Probes[[1]])

coefs <- function(z) c(unlist(as.data.frame(coef(lm(z[,-1] ~ z[,1])))))
rz <- rollapply(z, 12, by = 6, coefs, by.column = FALSE, align = "left")

给予:

> head(rz)
     B11 B12  B21 B22 B31 B32  B41 B42
0.01   4 100 -101 100   9 100 -201 100
0.07   4 100 -101 100   9 100 -201 100
0.13   4 100 -101 100   9 100 -201 100
0.19   4 100 -101 100   9 100 -201 100
0.25   4 100 -101 100   9 100 -201 100
0.31   4 100 -101 100   9 100 -201 100

请注意，如果您需要数据帧表示形式为rz，则可以使用DF <- fortify.zoo(rz).

Note that DF <- fortify.zoo(rz) could be used if you needed a data frame representation of rz.

2)另一种类似的方法是对行号rollaplly:

2) An alternative somewhat similar approch would be to rollaplly over the row numbers:

library(zoo)
y <- as.matrix(Probes[-1])
Days <- Probes$Days
n <- nrow(Probes)
coefs <- function(ix) c(unlist(as.data.frame(coef(lm(y ~ Days, subset = ix)))), 
      xmins = Days[ix][1])
r <- rollapply(1:n, 12, by = 6, coefs)

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