使用 2 个向量参数滚动函数 [英] Rolling over function with 2 vector arguments

问题描述

我想在需要 2 个向量参数的函数上应用滚动.这是使用 data.table 的示例(不起作用):

I want to apply rolling on the function that requires 2 vector arguments. Here is the exmample (that doesn't work) using data.table:

library(data.table)
df <- as.data.table(cbind.data.frame(x=1:100, y=101:200))
my_sum <- function(x, y) {
  x <- log(x)
  y <- x * y
  return(x + y)
}
roll_df <- frollapply(df, 10, function(x, y) {
  my_sum(x, y)})

它无法识别 y 列.Ofc，解决方案可以是使用 xts 或其他一些包.

It doesn't recognize y column. Ofc, the solution can be using xts or some other package.

这是我要应用的真正功能:

This is the real function I want to apply:

library(dpseg)
dpseg_roll <- function(time, price) {
  p <- estimateP(x=time, y=price, plot=FALSE)
  segs <- dpseg(time, price, jumps=jumps, P=p, type=type, store.matrix=TRUE)
  slope_last <- segs$segments$slope[length(segs$segments$slope)]
  return(slope_last)
}

推荐答案

使用 runner 你可以在滚动窗口中应用任何功能.也可以在插入到 x 参数的 data.frame 行上创建运行窗口.让我们专注于更简单的函数 my_sum.runner 中的参数 f 只能接受一个对象(在这种情况下为 data).我鼓励将 browser() 放在函数中以逐行调试，然后再对子集应用一些奇特的模型(某些算法需要最少的观察次数).

With runner you can apply any function in rolling window. Running window can be created also on a rows of data.frame inserted to x argument. Let's focus on simpler function my_sum. Argument f in runner can accept only one object (data in this case). I encourage to put browser() to the function to debug row-by-row before you apply some fancy model on the subset (some algorithms requires some minimal number of observations).

my_sum <- function(data) {
  # browser()
  x <- log(data$x)
  y <- x * data$y
  tail(x + y, 1) # return only one value
}

my_sum 应该只返回一个值，因为 runner 为每一行计算 - 如果 my_sum 返回向量，你会得到一个列表.因为 runner 是一个独立的函数，所以你需要将 data.table 对象传递给 x.最好的方法是使用 x = .SD(参见 这里为什么)

my_sum should return only one value, because runner computes for each row - if my_sum returns vector, you would get a list. Because runner is an independent function you need to pass data.table object to x. Best way to do this is to use x = .SD (see here why)

df[, 
   new_col := runner(
      x = .SD,
      f = my_sum,
      k = 10
)]

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