XTS 应用系列和多列 XTS? [英] XTS Apply Family and a Multi Column XTS?

问题描述

我如何使用 apply 系列函数，比如 apply.daily 到多变量 XTS?

例如:

<前>时间，a，b...2012-02-11 16:21:24 4.7258 7.72582012-02-11 16:26:25 4.9096 12.37962012-02-11 16:31:25 4.7904 2.2204...

我将如何按列将 apply.daily 和 mean 用于整个矩阵.因此，结果将是当天的单个时间戳，下一列的 a 的平均值，以及之后列的 b 的平均值.

我想对任意数量的列执行此操作(列和名称的数量未知——当然都是数字).

解决方案

你可以简单地使用 colMeans 来取每一列的平均值:

库(quantmod)getSymbols("间谍")spy1 <- apply.weekly(SPY, colMeans)

您还可以定义一个任意函数，该函数在对象的列上使用 apply:

spy2 <- apply.weekly(SPY, function(x) apply(x,2,mean))相同(间谍1，间谍2)# [1] 真

How do I use the apply family of functions, say apply.daily to a multivariate XTS?

So for example:

Time,a,b
...
2012-02-11 16:21:24 4.7258 7.7258
2012-02-11 16:26:25 4.9096 12.3796
2012-02-11 16:31:25 4.7904 2.2204
...

How would I use apply.daily and mean to the entire matrix by column. So the result would be a single time stamp for the day, the mean of a for the next column, and the mean of b for the column after that.

I would like to do this for arbitrary number columns (the amount of columns and names are not known -- all numeric of course).

解决方案

You could simply use colMeans to take the mean of every column:

library(quantmod)
getSymbols("SPY")
spy1 <- apply.weekly(SPY, colMeans)

You could also define an arbitrary function that uses apply over the columns of your object:

spy2 <- apply.weekly(SPY, function(x) apply(x,2,mean))
identical(spy1,spy2)
# [1] TRUE

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