rollapply回归“envir”错误

Question

I have this data set https://gist.github.com/natemiller/42eaf45747f31a6ccf9a

I'm trying to apply a rolling regression using the rollapply in the zoo package, following the examples in the rollapply help and keep getting what I imagine is a simple error, but one I haven't been able to work around.

If I load the above data as "dat" then I do this..

    dat$Date<-as.POSIXct(dat$Date, format="%m/%d/%y %H:%M")

    library(zoo)

    roll<-rollapply(dat, width = 6, FUN = function(d) coef(lm(Temp~Date, data=d)),  align="right")

and I get the error

    Error in eval(predvars, data, env) : invalid 'envir' argument

dat should be an appropriate input to lm , this lm works outside of rollapply , so the error arises in the rollapply itself. I assume its simple, but I'd appreciate help. Thanks

Answer 1

First of all , I don't think that what you do make sense. You try to do a regression with 6 values .

The error occurs because you don't give a good environnment for lm . The d is a an atomic vector of length 6, or you need a data.frame with 2 columns Temp and date. For example , the first d is :

d
9.5 9.5 9.5 9.5 9.5 9.5 

Applying lm with this d , you reproduce the error:

lm(Temp~Date, data=d)
Error in eval(predvars, data, env) : 
  numeric 'envir' arg not of length one

you don't have the Date of the current roll window, you have just the values.

Answer 2

Try this:

library(zoo)
dat <- read.zoo("sampleTempData.csv", header = TRUE, sep = ",", 
    index = 2, tz = "", format = "%m/%d/%y %H:%S")

Seq <- zoo(seq_along(dat), time(dat))
coefs <- rollapply(Seq, 6, function(ix) coef(lm(dat ~ time(dat), subset = ix)))

ADDED: poster added to question so additional code here. Note that we are using POISIXct for date/times so time units associated with the coefs zoo object are in seconds regardless of the input format. At the end we convert from seconds to days. See ?aggregate.zoo

colnames(coefs) <- c("Intercept", "slope")
Seq.coefs <- zoo(1:nrow(coefs), time(coefs))
max.coefs <- function(ix) coefs[which.max(coefs[ix, 2]), ]
ag <- aggregate(Seq.coefs, as.Date, max.coefs)
transform(ag, slope = slope * 24 * 3600)