[英]Creating dummy from multiple xts objects
我有多個 xts 對象,如果股票高於或低於某個中值,它們都是指標。 這些列表的結構如下:大小變量是 S 或 B,值變量是 H 或 L,動量變量是 D 或 U。這就是我的三個 xts 對象的一部分
` NESN ROG NOVN ZURN ABBN UBSG LONN
1989-12-01 "B" "B" "B" "S" "S" "B" NA
1990-01-01 "B" "B" "B" "B" "S" "B" NA`
NESN ROG NOVN ZURN ABBN UBSG LONN
1989-12-01 "H" "L" "L" "H" "L" "L" NA
1990-01-01 "H" "H" "L" "H" "L" "L" NA
NESN ROG NOVN ZURN ABBN UBSG LONN
1989-12-01 "D" "U" "U" "D" "D" "D" NA
1990-01-01 "D" "U" "D" "D" "D" "U" NA
現在我想生成一個將這三個列表考慮在內的新列表,以便我可以創建一個等於 1 的虛擬變量,例如當股票位於 S、L 和 D 時。結果看起來像這樣:
NESN ROG NOVN ZURN ABBN UBSG LONN
1989-12-01 NA NA NA NA 1 NA NA
1990-01-01 NA NA NA NA 1 NA NA
我嘗試了以下方法:
SLD_dummy <- ifelse(big_small=="S" & high_low=="L" & up_down=="D",1,NA)
但是,我收到以下錯誤:
Error in `[.xts`(x, i, which.i = TRUE) : subscript out of bounds
有人知道我怎樣才能得到想要的結果嗎? 在此先感謝您的幫助。
您可以在您的xts
object 上使用replace
:
library(xts)
library(magrittr)
big_small <- as.xts(read.table(text=' NESN ROG NOVN ZURN ABBN UBSG LONN
1989-12-01 "B" "B" "B" "S" "S" "B" NA
1990-01-01 "B" "B" "B" "B" "S" "B" NA'))
high_low <- as.xts(read.table(text=' NESN ROG NOVN ZURN ABBN UBSG LONN
1989-12-01 "H" "L" "L" "H" "L" "L" NA
1990-01-01 "H" "H" "L" "H" "L" "L" NA'))
up_down <- as.xts(read.table(text=' NESN ROG NOVN ZURN ABBN UBSG LONN
1989-12-01 "D" "U" "U" "D" "D" "D" NA
1990-01-01 "D" "U" "D" "D" "D" "U" NA'))
m <- big_small=="S" & high_low=="L" & up_down=="D"
replace(m, m==T, 1) %>% replace(., m==F, NA)
#> NESN ROG NOVN ZURN ABBN UBSG LONN
#> 1989-12-01 NA NA NA NA 1 NA NA
#> 1990-01-01 NA NA NA NA 1 NA NA
由代表 package (v2.0.0) 於 2021 年 5 月 22 日創建
(或做m[m==TRUE] <- 1; m[m==FALSE] <- NA
)
我們也可以使用base R
中的Map/Reduce
來執行此操作(使用R 4.1.0
)
library(xts)
Map(`==`, list(big_small, high_low, up_down), c('S', 'L', 'D')) |>
{\(x) Reduce(`&`, x)}() |>
{\(x) NA^(!x)}()
-輸出
# NESN ROG NOVN ZURN ABBN UBSG LONN
#1989-12-01 NA NA NA NA 1 NA NA
#1990-01-01 NA NA NA NA 1 NA NA
big_small <- structure(c("B", "B", "B", "B", "B", "B", "S", "B", "S", "S",
"B", "B", NA, NA), .Dim = c(2L, 7L), .Dimnames = list(NULL, c("NESN",
"ROG", "NOVN", "ZURN", "ABBN", "UBSG", "LONN")), index = structure(c(628491600,
631170000), tzone = "", tclass = c("POSIXct", "POSIXt")), class = c("xts",
"zoo"))
high_low <- structure(c("H", "H", "L", "H", "L", "L", "H", "H", "L", "L",
"L", "L", NA, NA), .Dim = c(2L, 7L), .Dimnames = list(NULL, c("NESN",
"ROG", "NOVN", "ZURN", "ABBN", "UBSG", "LONN")), index = structure(c(628491600,
631170000), tzone = "", tclass = c("POSIXct", "POSIXt")), class = c("xts",
"zoo"))
up_down <- structure(c("D", "D", "U", "U", "U", "D", "D", "D", "D", "D",
"D", "U", NA, NA), .Dim = c(2L, 7L), .Dimnames = list(NULL, c("NESN",
"ROG", "NOVN", "ZURN", "ABBN", "UBSG", "LONN")), index = structure(c(628491600,
631170000), tzone = "", tclass = c("POSIXct", "POSIXt")), class = c("xts",
"zoo"))
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