R中多列的汇总和加权均值 [英] Aggregate and Weighted Mean for multiple columns in R

问题描述

问题基本上是这样的： R中的聚合和加权均值。

The question is basically the samt as this: Aggregate and Weighted Mean in R.

但是我希望它使用data.table在几列上进行计算，因为我有数百万行。像这样：

But i want it to compute it on several columns, using data.table, as I have millions of rows. So something like this:

set.seed(42)   # fix seed so that you get the same results
dat <- data.frame(assetclass=sample(LETTERS[1:5], 20, replace=TRUE), 
                                    tax=rnorm(20),tax2=rnorm(20), assets=1e7+1e7*runif(20), assets2=1e6+1e7*runif(20))

DT <- data.table(dat)

我可以像这样计算一列资产的加权平均值：

I can compute the weighted mean on one column, assets, like this:

DT[,list(wret = weighted.mean(tax,assets)),by=assetclass]

但是如何同时在资产和资产2上执行呢？

如果有多个列，例如 col = c（ assets1， assets2， assets3，。 ..）？
而且也可以对税，税1 ...

But how to do it on both assets and assets2?
What if there are several columns, like col=c("assets1", "assets2", "assets3", ... )? And is it also possible to do it for tax, tax1...

推荐答案

几列权重

DT <- data.table(assetclass=sample(LETTERS[1:5], 20, replace=TRUE), 
                  tax=rnorm(20), assets=1e7+1e7*runif(20), asets2=1e6+1e7*runif(20))
DT[, lapply(.SD, FUN=weighted.mean, x=tax), by=assetclass, .SDcols=3:4]
#    assetclass      assets       asets2
# 1:          D -0.14179882 -0.003717957
# 2:          B  0.61146928  0.523913589
# 3:          E -0.28037796 -0.147677384
# 4:          C -0.09658125 -0.010338894
# 5:          A  0.74954460  0.750190947

，也可以从 .SD 中排除非权重列：

or you can exclude the non-weight columns from .SD:

DT[, lapply(.SD, FUN=weighted.mean, x=tax), by=assetclass, .SDcols=-(1:2)]

这里是使用矩阵乘法的变体：

Here is a variant using matrix multiplication:

DT[, as.list(crossprod(as.matrix(.SD), tax)/colSums(.SD)), by=assetclass, .SDcols=-(1:2)]

矩阵乘法还可以对几列 tax1 ，执行此操作tax2 ，...

The matrix multiplication can do it also for several columns tax1, tax2, ...

DT <- data.table(assetclass=sample(LETTERS[1:5], 20, replace=TRUE), 
                 tax1=rnorm(20), tax2=rnorm(20), assets=1e7+1e7*runif(20), asets2=1e6+1e7*runif(20))
DT[, as.list(crossprod(as.matrix(.SD), tax1)/colSums(.SD)), by=assetclass, .SDcols=-(1:2)]
DT[, as.list(crossprod(as.matrix(.SD), tax2)/colSums(.SD)), by=assetclass, .SDcols=-(1:2)]
DT[, as.list(crossprod(as.matrix(.SD), cbind(tax1, tax2))/colSums(.SD)), by=assetclass, .SDcols=-(1:2)]

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