R：在滚动窗口外创建数据框 [英] R: create a data frame out of a rolling window

问题描述

假设我有一个具有以下结构的数据框：

Lets say I have a data frame with the following structure:

DF <- data.frame(x = 0:4, y = 5:9)
> DF
  x y
1 0 5
2 1 6
3 2 7
4 3 8
5 4 9

将 DF转换为具有以下结构的数据帧的最有效方法是什么：

what is the most efficient way to turn 'DF' into a data frame with the following structure:

w x y
1 0 5
1 1 6
2 1 6
2 2 7
3 2 7
3 3 8
4 3 8
4 4 9

其中w是在数据帧 DF中滚动的一个长度为2的窗口。该窗口的长度应该是任意的，即长度为3的结果。

Where w is a length 2 window rolling through the dataframe 'DF.' The length of the window should be arbitrary, i.e a length of 3 yields

w x y
1 0 5
1 1 6
1 2 7
2 1 6
2 2 7
2 3 8
3 2 7
3 3 8
3 4 9

我有点被这个问题困扰了，因为数据框还可以包含任意数量的列，即w，x，y，z等。

I am a bit stumped by this problem, because the data frame can also contain an arbitrary number of columns, i.e. w,x,y,z etc.

/ edit 2：实现的编辑1有点不合理，因为xts似乎无法处理每个数据点的多个观测值

/edit 2: I've realized edit 1 is a bit unreasonable, as xts doesn't seem to deal with multiple observations per data point

推荐答案

我的方法是使用 embed 函数。首先要做的是将索引的滚动序列创建为向量。取一个数据帧：

My approach would be to use the embed function. The first thing to do is to create a rolling sequence of indices into a vector. Take a data-frame:

df <- data.frame(x = 0:4, y = 5:9)

nr <- nrow(df)
w <- 3            # window size
i <- 1:nr         # indices of the rows
iw <- embed(i,w)[, w:1]   # matrix of rolling-window indices of length w

> iw
     [,1] [,2] [,3]
[1,]    1    2    3
[2,]    2    3    4
[3,]    3    4    5

wnum <- rep(1:nrow(iw),each=w)   # window number
inds <- i[c(t(iw))]              # the indices flattened, to use below

dfw <- sapply(df, '[', inds)
dfw <- transform(data.frame(dfw), w = wnum)

> dfw
  x y w
1 0 5 1
2 1 6 1
3 2 7 1
4 1 6 2
5 2 7 2
6 3 8 2
7 2 7 3
8 3 8 3
9 4 9 3

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