rollapply.DTSg: Rolling window function

In gisler/DTSg: A Class for Working with Time Series Data Based on 'data.table' and 'R6' with Largely Optional Reference Semantics

Rolling window function

Description

Applies an arbitrary function to a rolling window of selected columns of a DTSg object with recognised periodicity.

Usage

## S3 method for class 'DTSg'
rollapply(
  x,
  fun,
  ...,
  cols = self$cols(class = "numeric")[1L],
  before = 1L,
  after = before,
  weights = "inverseDistance",
  parameters = list(power = 1),
  resultCols = NULL,
  suffix = NULL,
  helpers = TRUE,
  memoryOverCPU = TRUE,
  clone = getOption("DTSgClone")
)

Arguments

x	A DTSg object (S3 method only).
fun	A function. Its return value must be of length one.
...	Further arguments passed on to fun.
cols	A character vector specifying the columns whose rolling window fun shall be applied to. Another possibility is a character string containing either comma separated column names, for example, "x,y,z", or the start and end column separated by a colon, for example, "x:z".
before	An integerish value specifying the size of the window in time steps before the “center” of the rolling window.
after	An integerish value specifying the size of the window in time steps after the “center” of the rolling window.
weights	A character string specifying the method applied to calculate the weights handed over to fun. These are useful for functions like weighted.mean. See corresponding section for further information.
parameters	A list specifying parameters for the weight calculation method. See corresponding section for further information.
resultCols	An optional character vector of the same length as cols specifying the column names for the return values of fun. Another possibility is a character string containing comma separated column names, for example, "x,y,z". Non-existing columns are added and existing columns are overwritten. Columns are matched element-wise between cols and resultCols.
suffix	An optional character string. The return values of fun are added as new columns with names consisting of the columns specified in cols and this suffix. Existing columns are never overwritten. Only used when resultCols is not specified.
helpers	A logical specifying if helper data shall be handed over to fun. See corresponding section for further information.
memoryOverCPU	A logical specifying if memory usage shall be preferred over CPU usage for this method call. The former is generally faster for smaller windows and shorter time series, the latter for bigger windows and longer time series or might even be the only one which works depending on the available hardware.
clone	A logical specifying if the object shall be modified in place or if a deep clone (copy) shall be made beforehand.

Value

Returns a DTSg object.

Weights

Currently, only one method to calculate weights is supported: "inverseDistance". The distance d of the “center” is one and each time step further away from the “center” adds one to it. So, for example, the distance of a timestamp three steps away from the “center” is four. Additionally, the calculation of the weights accepts a power parameter p as a named element of a list provided through the parameters argument: \frac{1}{d^p}.

Helper data

In addition to the ... argument, this method optionally hands over the weights as a numeric vector (w argument) and a list argument with helper data called .helpers to fun. This list contains the following elements:

• before: Same as the before argument.

• after: Same as the after argument.

• windowSize: Size of the rolling window (before + 1L + after).

• centerIndex: Index of the “center” of the rolling window (before + 1L).

See Also

cols, getOption

Examples

# new DTSg object
x <- DTSg$new(values = flow)

# calculate a moving average
## R6 method
x$rollapply(
  fun = mean,
  na.rm = TRUE,
  before = 2,
  after = 2
)$print()

## S3 method
print(rollapply(
  x = x,
  fun = mean,
  na.rm = TRUE,
  before = 2,
  after = 2
))

gisler/DTSg documentation built on Jan. 11, 2024, 4:59 a.m.