June 2020
Beginner to intermediate
522 pages
9h 6m
Chinese
Content preview from R 语言经典实例（原书第 2 版）
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时间序列分析
｜
433
rollapply(ts, 21, f)
函数 rollapply 会在时间序列 ts 的一个滑动窗口数据上重复调用函数 f，如下所示：
1. f(ts[1:21])
2. f(ts[2:22])
3. f(ts[3:23])
4. ... etc. ...
观察到函数 f 有一个向量值参数，函数 rollapply 保存函数 f 返回的值，然后将它们
打包到 zoo 对象中，并为每个值添加时间标签。时间标签的选择取决于函数 rollapply
的参数 align 的取值：
align="right"
时间标签取自最右边值的时间标签。
align="left"
时间标签取自最左边值的时间标签。
align="center"（默认）
时间标签取自中间值的时间标签。
默认情况下，函数 rollapply 将在连续的数据点重复应用函数 f，也可以设置每隔
n
个数据点计算函数 f。这里只要设置函数 rollapply 的参数 by =
n
，完成一次函数
计算后，将数据点向前移动
n
个点。例如，当计算时间序列的滚动标准差时，我们通常希
望每个数据窗口是分开的，而不是重叠的，因此我们将参数 by 的值设置为窗口的大小：
ibm_sds <- rollapply(ibm_5, width = 30, FUN = sd, by = 30, align = "right")
ibm_sds <- na.omit(ibm_sds)
head(ibm_sds)
默认情况下，rollapply 函数将返回一个对象，该对象具有与输入数据一样多的观测 ...
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