應用自定義函數的滾動的基礎上

Question

我有以下的自定義函數，我想申請成爲一個滾動的基礎上：

AvgTotCorr = function(R, weights){ 
    options(scipen = 999) 
    cv = cov(R) 
    VARs = diag(cv) 
    cr = cor(R) 

    # double summation in numerator (including multiplier 2) 
    diag(cr) <- 0 
    double_sum.1 <- c(crossprod(weights, cr %*% weights)) 

    # single summation in denominator 
    single_sum.1 <- c(crossprod(weights)) 
    ATC = double_sum.1/(1 - single_sum.1) 
} 

這裏R是數據幀：

    DDM   DDN   DDO   DDR   DDC 
Sep 2014 -0.039749349 -0.046725883 -0.07165751 -0.041101729 -0.0405825697 
Oct 2014 -0.019015151 0.030691351 0.02229647 -0.022410688 0.0321796762 
Nov 2014 0.020675795 -0.037794427 -0.01102216 0.021366553 -0.0386273876 
Dec 2014 -0.046899009 -0.022367029 -0.04680322 -0.040628129 -0.0262800957 
Jan 2015 0.005151610 0.011781256 -0.00199897 0.006401454 0.0177665515 
Feb 2015 0.060934104 0.060653431 0.04656980 0.060199852 0.0623440161 
Mar 2015 -0.024379782 0.005873559 -0.02055282 -0.025283819 0.0031299557 
Apr 2015 0.042419793 0.034595214 0.07413768 0.045284691 0.0325663255 
May 2015 0.002830872 -0.005836018 -0.03553548 0.002944174 -0.0030217009 
Jun 2015 -0.032727478 -0.024746098 -0.02552883 -0.031593800 -0.0170672371 
Jul 2015 0.026676613 -0.005407006 -0.06262244 0.024492561 0.0003899826 
Aug 2015 -0.070191318 -0.076771003 -0.09864298 -0.066551790 -0.0783862698 
        DDG   DDS 
Sep 2014 -0.0726463957 -0.016924381 
Oct 2014 0.0077937769 0.026900190 
Nov 2014 -0.0128892718 0.031539076 
Dec 2014 -0.0417678522 -0.007125182 
Jan 2015 -0.0002124871 -0.017743131 
Feb 2015 0.0421096048 0.068226081 
Mar 2015 -0.0136735199 -0.007703681 
Apr 2015 0.0726257592 0.000000000 
May 2015 -0.0364584275 0.017228766 
Jun 2015 -0.0294631646 -0.016211165 
Jul 2015 -0.0655703334 0.032250580 
Aug 2015 -0.0935620960 -0.062634476 

而且wv是一個向量：

[1] 0.142860 0.142877 0.142813 0.142896 0.142806 0.142861 0.142886 

我最初以爲我可以做到這一點全光照來自包裝zoo的g rollapply。但我無法得到它的工作：

rollcorr = rollapply(data = df, 
        width = 6, 
        FUN = function(x) AvgTotCorr(x, weights = wv)) 

有什麼可能的解決方案呢？謝謝。

Answer 1

這個工作對我來說：

sapply(1:(nrow(R)-5), FUN = function(x) AvgTotCorr(R[x:(x+5),], weights = wv)) 

我們從數據幀R迭代x在1到(nrow(R)-5)和子行x到x+5。

---

實例與數據的一小部分：

R =read.table(text="month DDM   DDN   DDO   DDR   DDC 
-0.039749349 -0.046725883 -0.07165751 -0.041101729 -0.0405825697 
-0.019015151 0.030691351 0.02229647 -0.022410688 0.0321796762 
0.020675795 -0.037794427 -0.01102216 0.021366553 -0.0386273876 
-0.046899009 -0.022367029 -0.04680322 -0.040628129 -0.0262800957 
0.005151610 0.011781256 -0.00199897 0.006401454 0.0177665515 
0.060934104 0.060653431 0.04656980 0.060199852 0.0623440161 
-0.024379782 0.005873559 -0.02055282 -0.025283819 0.0031299557 
0.042419793 0.034595214 0.07413768 0.045284691 0.0325663255 
0.002830872 -0.005836018 -0.03553548 0.002944174 -0.0030217009 
-0.032727478 -0.024746098 -0.02552883 -0.031593800 -0.0170672371 
0.026676613 -0.005407006 -0.06262244 0.024492561 0.0003899826 
-0.070191318 -0.076771003 -0.09864298 -0.066551790 -0.0783862698",header=T) 
wv = c(0.142860, 0.142877, 0.142813, 0.142896, 0.142806) 

library(zoo) 
sapply(1:(nrow(R)-5), FUN = function(x) AvgTotCorr(R[x:(x+5),], weights = wv)) 

輸出：

[1] 0.3541615 0.3242225 0.3632350 0.4199588 0.4118846 0.3737221 0.3875652