用以前的值替换缺失值 [英] Replace missing value with previous value

问题描述

Event,Time,Bid,Offer
Quote,0.458338,9.77,9.78
Order,0.458338,NA,NA
Order,0.458338,NA,NA
Order,0.458338,NA,NA
Quote,0.458363,9.78,9.79
Order,0.458364,NA,NA

我有一个这样的数据框我想写一个高效的代码，用之前的报价和询价填充NA，时间是排序的，只有报价包含出价和询价字段(最好是矢量化)

I have a Data frame like this I want to write a efficient code to fill up the NA with previous Quote bid and ask, Time is sorted, and only Quote contains bid and ask field (preferably vectorization)

就变成了

Event,Time,Bid,Offer
Quote,0.458338,9.77,9.78
Order,0.458338,9.77,9.78
Order,0.458338,9.77,9.78
Order,0.458338,9.77,9.78
Quote,0.458363,9.78,9.79
Order,0.458364,9.78,9.79

谢谢

推荐答案

zoo 包中的 na.locf() 函数是您的朋友.locf 代表最后一个结转".使用您的数据:

The na.locf() function in the zoo package is your friend here. The locf stands for "last one carried forward". With your data:

dat <- read.table(text = "Event,Time,Bid,Offer
Quote,0.458338,9.77,9.78
Order,0.458338,NA,NA
Order,0.458338,NA,NA
Order,0.458338,NA,NA
Quote,0.458363,9.78,9.79
Order,0.458364,NA,NA
", header = TRUE, sep = ",")

require(zoo)

dat2 <- transform(dat, Bid = na.locf(Bid), Offer = na.locf(Offer))

生产.

> dat2
  Event     Time  Bid Offer
1 Quote 0.458338 9.77  9.78
2 Order 0.458338 9.77  9.78
3 Order 0.458338 9.77  9.78
4 Order 0.458338 9.77  9.78
5 Quote 0.458363 9.78  9.79
6 Order 0.458364 9.78  9.79

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