Example data to copy
df <- data.frame(
AA = c(100, 200, 300, 400),
X1 = c(2, 1, 3, 1),
X2 = c(1, 3, 4, 1)
)
Based on the index of AA, and it's values, I would like to calculate the sum of indicators based on the condition df$AA[i] > df[df$X1[i], c('AA')] (here for X1) for every row on a fluctuating number of variables.
My probably naive approach is to use a for-loop, which works perfectly for a fixed number of variables (columns), in the given example X1, X2. My problem is that I do not know the number of variables beforehand. Theoretically, any number 1, 2, 3, ... is possibly.
for (i in 1:nrow(df)) {
df$index[i] <- sum(df$AA[i] > df[df$X1[i], c('AA')],
df$AA[i] > df[df$X2[i], c('AA')])
}
Which gives the desired output for a fixed number of variables X1, X2:
df
#> AA X1 X2 index
#> 1 100 2 1 0
#> 2 200 1 3 1
#> 3 300 3 4 0
#> 4 400 1 1 2
Is there a smooth base R approach which translates my approach to a flexible number of variables X1, ..., Xn?
Note, the reason why I am interested in a base R approach is my aim to extend an existing package, which is fully written in base R. So I would like to keep it like that.
Loops or *apply-family approaches are both very welcome.
I am aware of the fact that operations on dataframes are often considered to be slower. Since all variables AA, X1, ... are of the same length, a solution which does not rely on a dataframe structure would also be great!
Created on 2022-04-06 by the reprex package (v2.0.1)
You don't need to loop through rows. You can use Reduce.
Reduce(`+`, lapply(df[-1], function(x) df$AA > df$AA[x]))
#> [1] 0 1 0 2
Does this correspond to what you're looking for ?
df$index <- apply(df, 1, function(x){sum(x[1] > df$AA[x[-1]])})
assuming that AA is the column 1 and all your Xi are all the other columns.
The following one-liner will work especially because df is a data-frame:
df$index <- rowSums( # To sum over a non-specified number of columns
mapply(
df[,- which(names(df) == "AA")], # Everything except AA
df[,"AA", drop = FALSE], # Only AA, but in a data-frame
FUN = function(index, aa) aa[index] < aa)) # Compare
Let's say i have the following list of df's (in reality i have many more dfs).
seq <- c("12345","67890")
li <- list()
for (i in 1:length(seq)){
li[[i]] <- list()
names(li)[i] <- seq[i]
li[[i]] <- data.frame(A = c(1,2,3),
B = c(2,4,6))
}
What i would like to do is calculate the mean within the same cell position between the lists, keeping the same amount of rows and columns as the original lists. How could i do this? I believe I can use the apply() function, but i am unsure how to do this.
The expected output (not surprising):
A B
1 1 2
2 2 4
3 3 6
In reality, the values within each list are not necessarily the same.
If there are no NAs, then we can Reduce to get the sum of observations for each element and divide by the length of the list
Reduce(`+`, li)/length(li)
# A B
#1 1 2
#2 2 4
#3 3 6
If there are NA values, then it may be better to use mean (which has na.rm argument). For this, we can convert it to array and then use apply
apply(array(unlist(li), dim = c(dim(li[[1]]), length(li))), c(1, 2), mean)
An equivalent option in tidyverse would be
library(tidyverse)
reduce(li, `+`)/length(li)
I found some previous questions on this topic especially this R: Grouped rolling window linear regression with rollapply and ddply and R: Rolling / moving avg by group , however, both questions did not provide an exact solution for the problem that I am facing. I am currently trying to estimate CAPM beta over panel data using a linear regression. So I have different funds (in the example below I used 3 fund groups) for which I would like to calculate the betas separately and per row. To put this more abstract: I am trying to do a linear regression with a moving window by group to estimate the coefficient for every row based on the data in the window.
install.packages("zoo","dplyr")
library(zoo);library(dplyr)
# Create dataframe
fund <- as.numeric(c(1,1,1,1,1,1,1,1,3,3,3,3,3,3,2,2,2,2,2,2,2))
return<- as.numeric(c(1:21))
benchmark <- as.numeric(c(1,13,14,20,14,32,4,1,5,7,1,0,7,1,-2,1,6,-7,9,10,9))
riskfree<-as.numeric(c(1,5,1,2,1,6,4,7,5,-5,10,0,3,1,2,1,6,7,8,9,10))
date <- as.Date(c("2010-07-30","2010-08-31","2010-09-30","2010-10-31","2010-11-30","2010-12-31","2011-01-30",
"2011-02-28","2010-07-31","2010-09-30","2010-10-31","2010-11-30","2010-12-31","2011-01-30",
"2010-07-30","2010-08-31","2010-09-30","2010-10-31","2010-11-30","2010-12-31","2011-01-30"))
funddata<-data.frame(date,fund,return,benchmark,riskfree)
# Creating variables of interest
funddata["ret_riskfree"]<-as.numeric(funddata$return-funddata$riskfree)
funddata["benchmark_riskfree"]<-as.numeric(funddata$benchmark-funddata$riskfree)
I want to do a rolling regression over two columns df[6:7] for every group indicated by the column "fund". The calculation should be done separately so the first two rows in the beta column for every fund group will always show "NA". In the end I want to have a full dataframe with all fund groups and all beta values combined.
I managed to come up with a new code that works but is pretty messy and it requires to order the data by fund & date before executing. I would welcome any suggestions on how to make it better.
funddata <- funddata[order(funddata$fund, funddata$date),]
beta_func <- function(x, benchmark_riskfree, ret_riskfree) {
a <- coef(lm(as.formula(paste(ret_riskfree, "~", benchmark_riskfree,-1)),
data = x))
return(a)
}
beta_list<-list()
for (i in c(1:3)){beta_list[[paste(i, sep="_")]]<- (rollapplyr(funddata[(funddata$fund==i),6:7], width = 3,
FUN = function(x) beta_func(as.data.frame(x), "benchmark_riskfree" , "ret_riskfree"),
by.column = FALSE,fill=NA))}
beta_list<-unlist(beta_list, recursive=FALSE)
funddata$beta<-beta_list
As I mentioned in the comment above, this solution might be a bit off since I'm not able to reproduce your desired output 100%. Still, the functionality of what you're trying to accomplish is there. Have a look at it and let me know if this is something you could use or I could develop further.
EDIT: The code below does not reproduce the desired output as specified above, but turned out to be what the OP was looking for after all.
Here goes:
# Datasource
fund <- as.numeric(c(1,1,1,1,1,1,1,1,3,3,3,3,3,3,2,2,2,2,2,2,2))
return<- as.numeric(c(1:21))
benchmark <- as.numeric(c(1,13,14,20,14,32,4,1,5,7,1,0,7,1,-2,1,6,-7,9,10,9))
riskfree<-as.numeric(c(1,5,1,2,1,6,4,7,5,-5,10,0,3,1,2,1,6,7,8,9,10))
date <- as.Date(c("2010-07-30","2010-08-31","2010-09-30","2010-10-31","2010-11-30","2010-12-31","2011-01-30",
"2011-02-28","2010-07-31","2010-09-30","2010-10-31","2010-11-30","2010-12-31","2011-01-30",
"2010-07-30","2010-08-31","2010-09-30","2010-10-31","2010-11-30","2010-12-31","2011-01-30"))
funddata<-data.frame(date,fund,return,benchmark,riskfree)
# Creating variables of interest
funddata["ret_riskfree"]<-as.numeric(funddata$return-funddata$riskfree)
funddata["benchmark_riskfree"]<-as.numeric(funddata$benchmark-funddata$riskfree)
# Target check #################################################################
# Subset last three rows in original dataframe
df_check <- funddata[funddata$fund == 1,]
df_check <- tail(df_check,3)
# Run regression check
mod_check <- lm(df_check$ret_riskfree~df_check$benchmark_riskfree)
coef(mod_check)
# My suggestion ################################################################
# The following function takes three arguments:
# 1. a dataframe, myDf
# 2. a column that you'd like to myDf on
# 3. a window length for a sliding window, myWin
fun_rollreg <- function(myDf, subCol, varY, varX, myWin){
df_main <- myDf
# Make an empty data frame to store results in
df_data <- data.frame()
# Identify unique funds
unFunds <- unique(unlist(df_main[subCol]))
# Loop through your subset
for (fundx in unFunds){
# Subset
df <- df_main
df <- df[df$fund == fundx,]
# Keep a copy of the original until later
df_new <- df
# Specify a container for your beta estimates
betas <- c()
# Specify window length
wlength <- myWin
# Retrieve some data dimensions to loop on
rows = dim(df)[1]
periods <- rows - wlength
# Loop through each subset of the data
# and run regression
for (i in rows:(rows - periods)){
# Split dataframe in subsets
# according to the window length
df1 <- df[(i-(wlength-1)):i,]
# Run regression
beta <- coef(lm(df1[[varY]]~df1[[varX]]))[2]
# Keep regression ressults
betas[[i]] <- beta
}
# Add regression data to dataframe
df_new <- data.frame(df, betas)
# Keep the new dataset for later concatenation
df_data <- rbind(df_data, df_new)
}
return(df_data)
}
# Run the function:
df_roll <- fun_rollreg(myDf = funddata, subCol = 'fund',
varY <- 'ret_riskfree', varX <- 'benchmark_riskfree',
myWin = 3)
# Show the results
print(head(df_roll,8))
For the first 8 rows in the new dataframe (fund = 1), this is the result:
date fund return benchmark riskfree ret_riskfree benchmark_riskfree betas
1 2010-07-30 1 1 1 1 0 0 NA
2 2010-08-31 1 2 13 5 -3 8 NA
3 2010-09-30 1 3 14 1 2 13 0.10465116
4 2010-10-31 1 4 20 2 2 18 0.50000000
5 2010-11-30 1 5 14 1 4 13 -0.20000000
6 2010-12-31 1 6 32 6 0 26 -0.30232558
7 2011-01-30 1 7 4 4 3 0 -0.11538462
8 2011-02-28 1 8 1 7 1 -6 -0.05645161
I am trying to calculate changes in weight between visits to chicks at different nests. This requires R to look up the nest code in the current row, find the previous time that nest was visited, and subtract the weight at the previous visit from the current visit. For the first visit to each nest, I would like to output the current weight (i.e. as though the weight at the previous, non-existent visit was zero).
My data is of the form:
Nest <- c(a,b,c,d,e,c,b,c)
Weight <- c(2,4,3,3,2,6,8,10)
df <- data.frame(Nest, Weight)
So the desired output here would be:
Change <- c(2,4,3,3,2,3,4,4)
I have achieved the desired output once, by subsetting to a single nest and using a for loop:
tmp <- subset(df, Nest == "a")
tmp$change <- tmp$Weight
for(x in 2:(length(tmp$Nest))){
tmp$change[x] <- tmp$Weight[(x)] - tmp$Weight[(x-1)]
}
but when I try to fit this into ddply
df2 <- ddply(df, "Nest", function(f) {
f$change <- f$Weight
for(x in 2:(length(f$Nest))){
f$change <- f$Weight[(x)] - f$Weight[(x-1)]
}
})
the output gives a blank data.frame (0 obs. of 0 variables).
Am I approaching this the right way but getting the code wrong? Or is there a better way to do it?
Thanks in advance!
Try this:
library(dplyr)
df %>% group_by(Nest) %>% mutate(Change = c(Weight[1], diff(Weight)))
or with just the base of R
transform(df, Change = ave(Weight, Nest, FUN = function(x) c(x[1], diff(x))))
Here is a data.table solution. With large data sets, this is likely to be faster.
library(data.table)
setDT(df)[,Change:=c(Weight[1],diff(Weight)),by=Nest]
df
# Nest Weight Change
# 1: a 2 2
# 2: b 4 4
# 3: c 3 3
# 4: d 3 3
# 5: e 2 2
# 6: c 6 3
# 7: b 8 4
# 8: c 10 4
I have a huge data frame. I am stuck with if function. Let me first present the simple example and then I lay down my problem:
z <- c(0,1,2,3,4,5)
y <- c(2,2,2,3,3,3)
a <- c(1,1,1,2,2,2)
x <- data.frame(z,y,a)
Problem: I want to run if function which sums column z values based for row which has same y and a only if the second row of each group has corresponding z equals 1
I am sorry but I am quite new in R so not able to present any reasonable codes which I have done by my own.
Any help would be highly appreciated.
As mentioned, your problem isn't clearly stated.
Perhaps you are looking to do something like this:
x$new <- with(x, ave(z, y, a, FUN = function(k)
ifelse(k[2] == 1, sum(k), NA)))
x
# z y a new
# 1 0 2 1 3
# 2 1 2 1 3
# 3 2 2 1 3
# 4 3 3 2 NA
# 5 4 3 2 NA
# 6 5 3 2 NA
Here, I've created a new column "new" which sums the values of "z" grouped by "y" and "a", but only if the second value in the group is equal to 1.
Since you say your data frame is quite large, you might want to convert your data frame to a data.table object using the data.table package. You will likely find that the required operations are much faster if you have a great many rows. However, the construction of the code for your case is not straight forward with data.table.
If I understnad what you want to do (which is not entirely clear to me) you could try the following:
library(data.table)
z <- c(0,1,2,3,4,5)
y <- c(2,2,2,3,3,3)
a <- c(1,1,1,2,2,2)
x <- data.frame(z,y,a)
xx <- as.data.table(x) # Make a data.table object
setkey(xx, z) # Make the z column a key
xx[1, sum(a)] # Sum all values in column a where the key z = 1
[1] 1
# Now try the other sum you mention
xx[, sum(z), by = list(z = y)] # A column sum over groups defined by z = y
z V1
1: 2 2
2: 3 3
sum(xx[, sum(z), by = list(z = y)][, V1]) # Summing over the sums for each group should do it
[1] 5
To create the sum over the column a where z = 1, I made the z column a key. The syntax xx[1, sum(a)] sums a where the key value (z value) is 1.
I can create groups with the data.table object with by, which is analogous to a SQL WHERE clause if you are familiar with SQL. However, the result is the sum of the column z for each of groups created. This may be inefficient if you have a great many possible matching values where z = y. The outer sum adds the values for each group in the sub-selected V1 column of the inner result.
If you are going to use data.table in a serious way study the informative vignettes available for that package.
M Dowle, T Short, S Lianoglou, A Srinivasan with contributions from R Saporta and E Antonyan (2014). data.table: Extensions of data.frame. R package version 1.9.2. http://CRAN.R-project.org/package=data.table