R中的滞后变量 [英] Lagging Variables in R

问题描述

在 R 中为任意变量(即不是常规时间序列)制作滞后变量矩阵的最有效方法是什么

What is the most efficient way to make a matrix of lagged variables in R for an arbitrary variable (i.e. not a regular time series)

例如:

输入:

x <- c(1,2,3,4) 

2 滞后，输出:

[1,NA, NA]
[2, 1, NA]
[3, 2,  1]
[4, 3,  2]

推荐答案

您可以使用内置的 embed() 函数来实现这一点，它的第二个 'dimension' 参数等同于您的'已经称为'滞后':

You can achieve this using the built-in embed() function, where its second 'dimension' argument is equivalent to what you've called 'lag':

x <- c(NA,NA,1,2,3,4)
embed(x,3)

## returns
     [,1] [,2] [,3]
[1,]    1   NA   NA
[2,]    2    1   NA
[3,]    3    2    1
[4,]    4    3    2

embed() 在 Joshua Reich 的上一个答案.(请注意，我在 x 前面加上了 NA 来复制您想要的输出).

embed() was discussed in a previous answer by Joshua Reich. (Note that I prepended x with NAs to replicate your desired output).

它的名字不是特别好，但它对于涉及滑动窗口的操作非常有用且功能强大，例如滚动求和和移动平均线.

It's not particularly well-named but it is quite useful and powerful for operations involving sliding windows, such as rolling sums and moving averages.

这篇关于R中的滞后变量的文章就介绍到这了，希望我们推荐的答案对大家有所帮助，也希望大家多多支持IT屋！