R/rollapply.data.frame.R

In zlfccnu/econophysics: Functions for econophysics

#' rollapply to a data frame
#' @param x the data frame
#' @param margin whic dimension you want to apply
#' @param FUN the function
#' @param ... other parameters for FUN
#' @param thread the multithreds number
#' @param windowSize the size of the rolling window
#' @param stepSize the moving window size
#' @param returnAsTbl logcial, whether return the results as Tibble object
#' @return a list
#' @export
  rollapply_dataframe=function(x,margin=1,FUN=NULL,...,thread=3,windowSize=NULL,stepSize=NULL,returnAsTbl=TRUE){
    if(margin==2){
      x=t(x)
    }
    doMC::registerDoMC(thread)
    tmp<- foreach::foreach(i=seq(from=1,to = (dim(x)[1]-windowSize+stepSize),by = stepSize))%dopar%{
      y=slice(as.data.frame(x),i:(i+windowSize-1))
      y=FUN(y,...)
      return(y)
    }
    if(isTRUE(returnAsTbl)){
      tmp=lapply(tmp,as_tibble)
    }
    return(tmp)
  }