R: Percentile calculations on subsets of data - r

I have a data set which contains the following identifiers, an rscore, gvkey, sic2, year, and cdom. What I am looking to do is calculate percentile ranks based on summed rscores for all temporal spans (~1500) for a given gvkey, and then calculate percentile ranks in a given temporal time span and sic2 based on gvkey.
Calculating the percentiles for all temporal time spans is a fairly quick process, however once I add in calculating the sic2 percentile ranks it's fairly slow, but we are likely looking at about ~65,000 subsets in total. I'm wondering if there is a possibility of speeding up this process.
The data for one temporal time span looks like the following
gvkey sic2 cdom rscoreSum pct
1187 10 USA 8.00E-02 0.942268617
1265 10 USA -1.98E-01 0.142334654
1266 10 USA 4.97E-02 0.88565478
1464 10 USA -1.56E-02 0.445748247
1484 10 USA 1.40E-01 0.979807985
1856 10 USA -2.23E-02 0.398252565
1867 10 USA 4.69E-02 0.8791019
2047 10 USA -5.00E-02 0.286701209
2099 10 USA -1.78E-02 0.430915371
2127 10 USA -4.24E-02 0.309255308
2187 10 USA 5.07E-02 0.893020421
The code to calculate the industry ranks is below, and fairly straightforward.
#generate 2 digit industry SICs percentile ranks
dout <- ddply(dfSum, .(sic2), function(x){
indPct <- rank(x$rscoreSum)/nrow(x)
gvkey <- x$gvkey
x <- data.frame(gvkey, indPct)
})
#merge 2 digit industry SIC percentile ranks with market percentile ranks
dfSum <- merge(dfSum, dout, by = "gvkey")
names(dfSum)[2] <- 'sic2'
Any suggestions to speed the process would be appreciated!

You might try the data.table package for fast operations across relatively large datasets like yours. For example, my machine has no problem working through this:
library(data.table)
# Create a dataset like yours, but bigger
n.rows <- 2e6
n.sic2 <- 1e4
dfSum <- data.frame(gvkey=seq_len(n.rows),
sic2=sample.int(n.sic2, n.rows, replace=TRUE),
cdom="USA",
rscoreSum=rnorm(n.rows))
# Now make your dataset into a data.table
dfSum <- data.table(dfSum)
# Calculate the percentiles
# Note that there is no need to re-assign the result
dfSum[, indPct:=rank(rscoreSum)/length(rscoreSum), by="sic2"]
whereas the plyr equivalent takes a while.
If you like the plyr syntax (I do), you may also be interested in the dplyr package, which is billed as "the next generation of plyr", with support for faster data stores in the backend.

Related

Looping regressions and running column sum based on results

I have a data frame with panel data that looks as follows:
countrycode year 7111 7112 7119 7126 7129 7131 7132 7133 7138
1 AGO 1981 380491 149890 238832 0 166690 449982 710642 430481 890546
2 AGO 1982 339626 66434 183487 0 79682 108356 486799 186884 220545
3 AGO 1983 128043 2697 91404 148617 3988 432725 829958 138764 152822
4 AGO 1984 67832 0 85613 1251 45644 361733 1250272 237236 2952746
5 AGO 1985 354335 11225 143000 2130 7687 2204297 942071 408907 474666
There are 159 four-digit column variables like the ones shown above. There are also column variables named CEPI1_fw and CIPI1_fw. Furthermore, there are 46 countries and 34 years in the data set.
I would like to use the plm command to regress each of the numerical column variables on CEPI1_fw and CIPI1_fw. Then, I would like to sum the numerical column variables in the data frame above based on whether the coefficients from the regressions are above or below a certain threshold. The resulting output should be a pair of columns added to the data frame above.
There are a few ambiguities in your question, but I'll take a shot.
First, I'm going to revamp your code slightly: adding rows to data frames is very inefficient (probably doesn't matter in this application, but it's a bad habit to get into ...)
out <- list()
for (i in colnames(master5)) {
f <- reformulate(c("CEPI1_fw","CIPI1_fw"),
response=paste0("master5$",i))
m <- summary(plm(f, data = master4, model = "within"))
out <- c(out, list(data.frame(yvar=i, coef=m$coefficients[1,1],
pval= m$coefficients[1,4],
stringsAsFactors=FALSE)))
}
out <- do.call(rbind, out) ## combine elements into a single data frame
Select only statistically significant response variables. From a statistical/inferential point of view, this is probably a bad idea ...
out <- out[out$pval<0.05,]
Select the names of variables where the coefficients are above a threshold
big_vars <- out$yvar[abs(out$coef)>threshold]
Compute column sums from another data set ...
colSums(other_data[big_vars])

Updating Values within a Simulation in R

I am working on building a model that can predict NFL games, and am looking to run full season simulations and generate expected wins and losses for each team.
Part of the model is based on a rating that changes each week based on whether or not a team lost. For example, lets say the Bills and Ravens each started Sundays game with a rating of 100, after the Ravens win, their rating now increases to 120 and the Bills decrease to 80.
While running the simulation, I would like to update the teams rating throughout in order to get a more accurate representation of the number of ways a season could play out, but am not sure how to include something like this within the loop.
My loop for the 2017 season.
full.sim <- NULL
for(i in 1:10000){
nflpredictions$sim.homewin <- with(nflpredictions, rbinom(nrow(nflpredictions), 1, homewinpredict))
nflpredictions$winner <- with(nflpredictions, ifelse(sim.homewin, as.character(HomeTeam), as.character(AwayTeam)))
winningteams <- table(nflpredictions$winner)
projectedwins <- data.frame(Team=names(winningteams), Wins=as.numeric(winningteams))
full.sim <- rbind(full.sim, projectedwins)
}
full.sim <- aggregate(full.sim$Wins, by= list(full.sim$Team), FUN = sum)
full.sim$expectedwins <- full.sim$x / 10000
full.sim$expectedlosses <- 16 - full.sim$expectedwins
This works great when running the simulation for 2017 where I already have the full seasons worth of data, but I am having trouble adapting for a model to simulate 2018.
My first idea is to create another for loop within the loop that iterates through the rows and updates the ratings for each week, something along the lines of
full.sim <- NULL
for(i in 1:10000){
for(i in 1:nrow(nflpredictions)){
The idea being to update a teams rating, then generate the win probability for the week using the GLM I have built, simulate who wins, and then continue through the entire dataframe. The only thing really holding me back is not knowing how to add a value to a row based on a row that is not directly above. So what would be the easiest way to update the ratings each week based on the result of the last game that team played in?
The dataframe is built like this, but obviously on a larger scale:
nflpredictions
Week HomeTeam AwayTeam HomeRating AwayRating HomeProb AwayProb
1 BAL BUF 105 85 .60 .40
1 NE HOU 120 90 .65 .35
2 BUF LAC NA NA NA NA
2 JAX NE NA NA NA NA
I hope I explained this well enough... Any input is greatly appreciated, thanks!

Table of average score of peer per percentile

I'm quite a newbie in R so I was interested in the optimality of my solution. Even if it works it could be (a bit) long and I wanted your advice to see if the "way I solved it" is "the best" and it could help me to learn new techniques and functions in R.
I have a dataset on students identified by their id and I have the school where they are matched and the score they obtained at a specific test (so for short: 3 variables id,match and score).
I need to construct the following table: for students in between two percentiles of score, I need to calculate the average score (between students) of the average score of the students of the school they are matched to (so for each school I take the average score of the students matched to it and then I calculate the average of this average for percentile classes, yes average of a school could appear twice in this calculation). In English it allows me to answer: "A student belonging to the x-th percentile in terms of score will be in average matched to a school with this average quality".
Here is an example in the picture:
So in that case, if I take the median (15) for the split (rather than percentiles) I would like to obtain:
[0,15] : 9.5
(15,24] : 20.25
So for students having a score between 0 and 15 I take the average of the average score of the school they are matched to (note that b average will appears twice but that's ok).
Here how I did it:
match <- c(a,b,a,b,c)
score <- c(18,4,15,8,24)
scoreQuant <- cut(score,quantile(score,probs=seq(0,1,0.1),na.rm=TRUE))
AvgeSchScore <- tapply(score,match,mean,na.rm=TRUE)
AvgScore <- 0
for(i in 1:length(score)) {
AvgScore[i] <- AvgeSchScore[match[i]]
}
results <- tapply(AvgScore,scoreQuant,mean,na.rm = TRUE)
If you have a more direct way of doing it.. Or I think the bad point is 3) using a loop, maybe apply() is better ? But I'm not sure how to use it here (I tried to code my own function but it crashed so I "bruted force it").
Thanks :)
The main fix is to eliminate the for loop with:
AvgScore <- AvgeSchScore[match]
R allows you to subset in ways that you cannot in other languages. The tapply function outputs the names of the factor that you grouped by. We are using those names for match to subset AvgeScore.
data.table
If you would like to try data.table you may see speed improvements.
library(data.table)
match <- c("a","b","a","b","c")
score <- c(18,4,15,8,24)
dt <- data.table(id=1:5, match, score)
scoreQuant <- cut(dt$score,quantile(dt$score,probs=seq(0,1,0.1),na.rm=TRUE))
dt[, AvgeScore := mean(score), match][, mean(AvgeScore), scoreQuant]
# scoreQuant V1
#1: (17.4,19.2] 16.5
#2: NA 6.0
#3: (12.2,15] 16.5
#4: (7.2,9.4] 6.0
#5: (21.6,24] 24.0
It may be faster than base R. If the value in the NA row bothers you, you can delete it after.

How do I generate a dataframe displaying the number of unique pairs between two vectors, for each unique value in one of the vectors?

First of all, I apologize for the title. I really don't know how to succinctly explain this issue in one sentence.
I have a dataframe where each row represents some aspect of a hospital visit by a patient. A single patient might have thousands of rows for dozens of hospital visits, and each hospital visit could account for several rows.
One column is Medical.Record.Number, which corresponds to Patient IDs, and the other is Patient.ID.Visit, which corresponds to an ID for an individual hospital visit. I am trying to calculate the number of hospital visits each each patient has had.
For example:
Medical.Record.Number    Patient.ID.Visit
AAAXXX           1111
AAAXXX           1112
AAAXXX           1113
AAAZZZ           1114
AAAZZZ           1114
AAABBB           1115
AAABBB           1116
would produce the following:
Medical.Record.Number   Number.Of.Visits
AAAXXX          3
AAAZZZ          1
AAABBB          2
The solution I am currently using is the following, where "data" is my dataframe:
#this function returns the number of unique hospital visits associated with the
#supplied record number
countVisits <- function(record.number){
visits.by.number <- data$Patient.ID.Visit[which(data$Medical.Record.Number
== record.number)]
return(length(unique(visits.by.number)))
}
recordNumbers <- unique(data$Medical.Record.Number)
visits <- integer()
for (record in recordNumbers){
visits <- c(visits, countVisits(record))
}
visit.counts <- data.frame(recordNumbers, visits)
This works, but it is pretty slow. I am dealing with potentially millions of rows of data, so I'd like something efficient. From what little I know about R, I know there's usually a faster way to do things without using a for-loop.
This essentially looks like a table() operation after you take out duplicates. First, some sample data
#sample data
dd<-read.table(text="Medical.Record.Number Patient.ID.Visit
AAAXXX 1111
AAAXXX 1112
AAAXXX 1113
AAAZZZ 1114
AAAZZZ 1114
AAABBB 1115
AAABBB 1116", header=T)
then you could do
tt <- table(Medical.Record.Number=unique(dd)$Medical.Record.Number)
as.data.frame(tt, responseName="Number.Of.Visits") #to get a data.frame rather than named vector (table)
# Medical.Record.Number Number.Of.Visits
# 1 AAABBB 2
# 2 AAAXXX 3
# 3 AAAZZZ 1
Or you could also think of this as an aggregation problem
aggregate(Patient.ID.Visit~Medical.Record.Number, dd, function(x) length(unique(x)))
# Medical.Record.Number Patient.ID.Visit
# 1 AAABBB 2
# 2 AAAXXX 3
# 3 AAAZZZ 1
There are many ways to do this, #MrFlick provided handful of perfectly valid approaches. Personally I'm fond of the data.table package. Its faster on large data frames and I find the logic to be more intuitive than the base functions. I'd check it out if you are having problems with execution time.
library(data.table)
med.dt <- data.table(med_tbl)
num.visits.dt <- med.dt[ , num_visits = length(unique(Patient.ID.Visit)),
by = Medical.Record.Number]
data.Table should be much faster than data.frame on a large tables.

Eliminating Existing Observations in a Zoo Merge

I'm trying to do a zoo merge between stock prices from selected trading days and observations about those same stocks (we call these "Nx observations") made on the same days. Sometimes do not have Nx observations on stock trading days and sometimes we have Nx observations on non-trading days. We want to place an "NA" where we do not have any Nx observations on trading days but eliminate Nx observations where we have them on non-trading day since without trading data for the same day, Nx observations are useless.
The following SO question is close to mine, but I would characterize that question as REPLACING missing data, whereas my objective is to truly eliminate observations made on non-trading days (if necessary, we can change the process by which Nx observations are taken, but it would be a much less expensive solution to leave it alone).
merge data frames to eliminate missing observations
The script I have prepared to illustrate follows (I'm new to R and SO; all suggestions welcome):
# create Stk_data data.frame for use in the Stack Overflow question
Date_Stk <- c("1/2/13", "1/3/13", "1/4/13", "1/7/13", "1/8/13") # dates for stock prices used in the example
ABC_Stk <- c(65.73, 66.85, 66.92, 66.60, 66.07) # stock prices for tkr ABC for Jan 1 2013 through Jan 8 2013
DEF_Stk <- c(42.98, 42.92, 43.47, 43.16, 43.71) # stock prices for tkr DEF for Jan 1 2013 through Jan 8 2013
GHI_Stk <- c(32.18, 31.73, 32.43, 32.13, 32.18) # stock prices for tkr GHI for Jan 1 2013 through Jan 8 2013
Stk_data <- data.frame(Date_Stk, ABC_Stk, DEF_Stk, GHI_Stk) # create the stock price data.frame
# create Nx_data data.frame for use in the Stack Overflow question
Date_Nx <- c("1/2/13", "1/4/13", "1/5/13", "1/6/13", "1/7/13", "1/8/13") # dates for Nx Observations used in the example
ABC_Nx <- c(51.42857, 51.67565, 57.61905, 57.78349, 58.57143, 58.99564) # Nx scores for stock ABC for Jan 1 2013 through Jan 8 2013
DEF_Nx <- c(35.23809, 36.66667, 28.57142, 28.51778, 27.23150, 26.94331) # Nx scores for stock DEF for Jan 1 2013 through Jan 8 2013
GHI_Nx <- c(7.14256, 8.44573, 6.25344, 6.00423, 5.99239, 6.10034) # Nx scores for stock GHI for Jan 1 2013 through Jan 8 2013
Nx_data <- data.frame(Date_Nx, ABC_Nx, DEF_Nx, GHI_Nx) # create the Nx scores data.frame
# create zoo objects & merge
z.Stk_data <- zoo(Stk_data, as.Date(as.character(Stk_data[, 1]), format = "%m/%d/%Y"))
z.Nx_data <- zoo(Nx_data, as.Date(as.character(Nx_data[, 1]), format = "%m/%d/%Y"))
z.data.outer <- merge(z.Stk_data, z.Nx_data)
The NAs on Jan 3 2013 for the Nx observations are fine (we'll use the na.locf) but we need to eliminate the Nx observations that appear on Jan 5 and 6 as well as the associated NAs in the Stock price section of the zoo objects.
I've read the R Documentation for merge.zoo regarding the use of "all": that its use "allows
intersection, union and left and right joins to be expressed". But trying all combinations of the
following use of "all" yielded the same results (as to why would be a secondary question).
z.data.outer <- zoo(merge(x = Stk_data, y = Nx_data, all.x = FALSE)) # try using "all"
While I would appreciate comments on the secondary question, I'm primarily interested in learning how to eliminate the extraneous Nx observations on days when there is no trading of stocks. Thanks. (And thanks in general to the community for all the great explanations of R!)
The all argument of merge.zoo must be (quoting from the help file):
logical vector having the same length as the number of "zoo" objects to be merged
(otherwise expanded)
and you want to keep all rows from the first argument but not the second so its value should be c(TRUE, FALSE).
merge(z.Stk_data, z.Nx_data, all = c(TRUE, FALSE))
The reason for the change in all syntax for merge.zoo relative to merge.data.frame is that merge.zoo can merge any number of arguments whereas merge.data.frame only handles two so the syntax had to be extended to handle that.
Also note that %Y should have been %y in the question's code.
I hope I have understood your desired output correctly ("NAs on Jan 3 2013 for the Nx observations are fine"; "eliminate [...] observations that appear on Jan 5 and 6"). I don't quite see the need for zoo in the merging step.
merge(Stk_data, Nx_data, by.x = "Date_Stk", by.y = "Date_Nx", all.x = TRUE)
# Date_Stk ABC_Stk DEF_Stk GHI_Stk ABC_Nx DEF_Nx GHI_Nx
# 1 1/2/13 65.73 42.98 32.18 51.42857 35.23809 7.14256
# 2 1/3/13 66.85 42.92 31.73 NA NA NA
# 3 1/4/13 66.92 43.47 32.43 51.67565 36.66667 8.44573
# 4 1/7/13 66.60 43.16 32.13 58.57143 27.23150 5.99239
# 5 1/8/13 66.07 43.71 32.18 58.99564 26.94331 6.10034

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