R：聚合不规则长度的时间序列组

Question

I think this is a split-apply-combine problem, but with a time series twist. My data consists of irregular counts and I need to perform some summary statistics on each group of counts. Here's a snapshot of the data:

And here's it is for your console:

library(xts)

date <- as.Date(c("2010-11-18", "2010-11-19", "2010-11-26", "2010-12-03", "2010-12-10",
              "2010-12-17", "2010-12-24", "2010-12-31", "2011-01-07", "2011-01-14",
              "2011-01-21", "2011-01-28", "2011-02-04", "2011-02-11", "2011-02-18",
              "2011-02-25", "2011-03-04", "2011-03-11", "2011-03-18", "2011-03-25",
              "2011-03-26", "2011-03-27"))

returns <- c(0.002,0.000,-0.009,0.030, 0.013,0.003,0.010,0.001,0.011,0.017,
         -0.008,-0.005,0.027,0.014,0.010,-0.017,0.001,-0.013,0.027,-0.019,
         0.000,0.001)
count <- c(NA,NA,1,1,2,2,3,4,5,6,7,7,7,7,7,NA,NA,NA,1,2,NA,NA)
maxCount <- c(NA,NA,0.030,0.030,0.030,0.030,0.030,0.030,0.030,0.030,0.030,
          0.030,0.030,0.030,0.030,NA,NA,NA,0.027,0.027,NA,NA)
sumCount <- c(NA,NA,0.000,0.030,0.042,0.045,0.056,0.056,0.067,0.084,0.077,
          0.071,0.098,0.112,0.123,NA,NA,NA,0.000,-0.019,NA,NA)

xtsData <- xts(cbind(returns,count,maxCount,sumCount),date)

I have no idea how to construct the max and cumSum columns, especially since each count series is of an irregular length. Since I won't always know the start and end points of a count series, I'm lost at trying to figure out the index of these groups. Thanks for your help!

UPDATE: here is my for loop for attempting to calculating cumSum. it's not the cumulative sum, just the returns necessary, i'm still unsure how to apply functions to these ranges!

xtsData <- cbind(xtsData,mySumCount=NA)
# find groups of returns
for(i in 1:nrow(xtsData)){
  if(is.na(xtsData[i,"count"]) == FALSE){
    xtsData[i,"mySumCount"] <- xtsData[i,"returns"]
  }
  else{
   xtsData[i,"mySumCount"] <- NA
  }
}

UPDATE 2: thank you commenters!

# report returns when not NA count
x1 <- xtsData[!is.na(xtsData$count),"returns"]

# cum sum is close, but still need to exclude the first element
# -0.009 in the first series of counts and .027 in the second series of counts
x2 <- cumsum(xtsData[!is.na(xtsData$count),"returns"]) 

# this is output is not accurate because .03 is being displayed down the entire column, not just during periods when counts != NA. is this just a rounding error?
x3 <- max(xtsData[!is.na(xtsData$count),"returns"]) 

SOLUTION:

# function to pad a vector with a 0
lagpad <- function(x, k) {
  c(rep(0, k), x)[1 : length(x)] 
}

# group the counts
x1 <- na.omit(transform(xtsData, g =  cumsum(c(0, diff(!is.na(count)) == 1))))

# cumulative sum of the count series
z1 <- transform(x1, cumsumRet = ave(returns, g, FUN =function(x) cumsum(replace(x, 1, 0))))
# max of the count series
z2 <- transform(x1, maxRet = ave(returns, g, FUN =function(x) max(lagpad(x,1))))



 merge(xtsData,z1$cumsumRet,z2$maxRet)

Answer 1

The code shown is not consistent with the output in the image and there is no explanation provided so its not clear what manipulations were wanted; however, the question did mention that the main problem is distinguishing the groups so we will address that.

To do that we compute a new column g whose rows contain 1 for the first group, 2 for the second and so on. We also remove the NA rows since the g column is sufficient to distinguish groups.

The following code computes a vector the same length as count by first setting each NA position to FALSE and each non-NA position to TRUE. It then differences each position of that vector with the prior position. To do that it implicitly converts FALSE to 0 and TRUE to 1 and then performs the differencing. Next we convert this last result to a logical vector which is TRUE for each 1 component and FALSE otherwise. Since the first component of the vector that is differenced has no prior position we prepend 0 for that. The prepending operation implicitly converts the TRUE and FALSE values just generated to 1 and 0 respectively. Taking the cumsum fills in the first group with 1, the second with 2 and so on. Finally omit the NA rows:

x <- na.omit(transform(x, g =  cumsum(c(0, diff(!is.na(count)) == 1))))

giving:

> x
           returns count maxCount sumCount g
2010-11-26  -0.009     1    0.030    0.000 1
2010-12-03   0.030     1    0.030    0.030 1
2010-12-10   0.013     2    0.030    0.042 1
2010-12-17   0.003     2    0.030    0.045 1
2010-12-24   0.010     3    0.030    0.056 1
2010-12-31   0.001     4    0.030    0.056 1
2011-01-07   0.011     5    0.030    0.067 1
2011-01-14   0.017     6    0.030    0.084 1
2011-01-21  -0.008     7    0.030    0.077 1
2011-01-28  -0.005     7    0.030    0.071 1
2011-02-04   0.027     7    0.030    0.098 1
2011-02-11   0.014     7    0.030    0.112 1
2011-02-18   0.010     7    0.030    0.123 1
2011-03-18   0.027     1    0.027    0.000 2
2011-03-25  -0.019     2    0.027   -0.019 2
attr(,"na.action")
2010-11-18 2010-11-19 2011-02-25 2011-03-04 2011-03-11 2011-03-26 2011-03-27 
         1          2         16         17         18         21         22 
attr(,"class")
[1] "omit"

You can now use ave to perform any calculations you like. For example to take cumulative sums of returns by group:

transform(x, cumsumRet = ave(returns, g, FUN = cumsum))

Replace cumsum with any other function that is suitable for use with ave .

Answer 2

Ah, so "count" are the groups and you want the cumsum per group and the max per group. I think in data.table, so here is how I would do it.

library(xts)
library(data.table)

date <- as.Date(c("2010-11-18", "2010-11-19", "2010-11-26", "2010-12-03", "2010-12-10",
                  "2010-12-17", "2010-12-24", "2010-12-31", "2011-01-07", "2011-01-14",
                  "2011-01-21", "2011-01-28", "2011-02-04", "2011-02-11", "2011-02-18",
                  "2011-02-25", "2011-03-04", "2011-03-11", "2011-03-18", "2011-03-25",
                  "2011-03-26", "2011-03-27"))

returns <- c(0.002,0.000,-0.009,0.030, 0.013,0.003,0.010,0.001,0.011,0.017,
             -0.008,-0.005,0.027,0.014,0.010,-0.017,0.001,-0.013,0.027,-0.019,
             0.000,0.001)
count <- c(NA,NA,1,1,2,2,3,4,5,6,7,7,7,7,7,NA,NA,NA,1,2,NA,NA)
maxCount <- c(NA,NA,0.030,0.030,0.030,0.030,0.030,0.030,0.030,0.030,0.030,
              0.030,0.030,0.030,0.030,NA,NA,NA,0.027,0.027,NA,NA)
sumCount <- c(NA,NA,0.000,0.030,0.042,0.045,0.056,0.056,0.067,0.084,0.077,
              0.071,0.098,0.112,0.123,NA,NA,NA,0.000,-0.019,NA,NA)

DT<-data.table(date,returns,count)]
DT[!is.na(count),max:=max(returns),by=count]
DT[!is.na(count),cumSum:= cumsum(returns),by=count]

#if you need an xts object at the end, then.

xtsData <- xts(cbind(DT$returns,DT$count, DT$max,DT$cumSum),DT$date)