从数据帧列表中获取回归系数的滚动函数

Question

我想获得具有滚动周期的数据帧列表中每个数据帧的回归系数，但不知何故，我得到的结果与我正在寻找的结果截然不同。我尝试了以下代码：我的数据看起来像这样

library("zoo") ## for rollapply()
data <- list(mtcars,mtcars,mtcars)

fapplyFunction <- function(x){
coef(lm(mpg ~ drat, data=as.data.frame(x)))}

coef_list <- lapply(data, rollapply, 20, fapplyFunction, partial = FALSE, by.column = FALSE)

我希望获得每个滚动元素的回归结果 windows 作为列表，稍后我可以绑定

我是 R 的新手。任何帮助将不胜感激。

Answer 1

提供 data.frame 作为第一个 rollapply 参数将 FUN 分别应用于 data.frame 的每一列 。可以通过在 data.frame.

中的行号序列中移动滚动 window 来同时对来自 两列的数据进行操作

lapply(data, function(x)
    rollapply(1:nrow(x), 20, function(i) coef(lm(mpg ~ drat, data = x[i, ]))))
#[[1]]
#      (Intercept)     drat
# [1,]   -11.70889 8.981350
# [2,]   -12.09923 9.124252
# [3,]   -11.47530 9.015324
# [4,]   -11.91551 9.124458
# [5,]   -12.51405 9.094820
# [6,]   -12.10843 8.994363
# [7,]   -15.57941 9.937651
# [8,]   -14.06719 9.511583
# [9,]   -14.42693 9.684131
#[10,]   -11.68393 8.789089
#[11,]   -12.12158 8.954089
#[12,]   -13.12850 9.243443
#[13,]   -12.81957 9.095040
# 
#[[2]]
#      (Intercept)     drat
# [1,]   -11.70889 8.981350
# [2,]   -12.09923 9.124252
# [3,]   -11.47530 9.015324
# [4,]   -11.91551 9.124458
# [5,]   -12.51405 9.094820
# [6,]   -12.10843 8.994363
# [7,]   -15.57941 9.937651
# [8,]   -14.06719 9.511583
# [9,]   -14.42693 9.684131
#[10,]   -11.68393 8.789089
#[11,]   -12.12158 8.954089
#[12,]   -13.12850 9.243443
#[13,]   -12.81957 9.095040
# 
#[[3]]
#      (Intercept)     drat
# [1,]   -11.70889 8.981350
# [2,]   -12.09923 9.124252
# [3,]   -11.47530 9.015324
# [4,]   -11.91551 9.124458
# [5,]   -12.51405 9.094820
# [6,]   -12.10843 8.994363
# [7,]   -15.57941 9.937651
# [8,]   -14.06719 9.511583
# [9,]   -14.42693 9.684131
#[10,]   -11.68393 8.789089
#[11,]   -12.12158 8.954089
#[12,]   -13.12850 9.243443
#[13,]   -12.81957 9.095040

从数据帧列表中获取回归系数的滚动函数

rolling function to get coeff of regression from a list of dataframes

r

list

lapply

dataframe

rollapply