R data.table 滚动连接“mult"没有按预期工作

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问题描述

我有两个 data.frames，每个都有一个时间序列.我的目标是使用 df2 的时间序列来标记 df1 中最近的时间戳.df2 中的每个时间戳只能在 df1 中标记一个时间戳！

I have two data.frames each with a time series. My goal ist to use the timeseries of df2 to mark the closest timestamp in df1. Each timestamp in df2 should only mark ONE timestamp in df1!

dates1 <-  as.POSIXct(c("2015-10-26 12:00:00","2015-10-26 13:00:00","2015-10-26 14:00:00"))
values1 <- c("a","b","c")

dates2 <- as.POSIXct(c("2015-10-26 12:05:00","2015-10-26 13:55:00"))
values2 <- c("A","C")

df1 <- data.frame(dates1, values1)
df2 <- data.frame(dates2, values2)

预期结果:

                dates2 values2 values1
1: 2015-10-26 12:00:00       A       a
2: 2015-10-26 13:00:00       NA      b
3: 2015-10-26 14:00:00       C       c

为了实现这一点，我将 data.frames 转换为 data.tables 并使用最近的"滚动连接:

In order to achieve this, I'm converting the data.frames to data.tables and using the rolling joing "nearest" like so:

dt1 <- data.table(df1)
dt2 <- data.table(df2)

setkey(dt1,"dates1")
setkey(dt2,"dates2")

dt3 <- dt2[dt1,roll = "nearest"]

                dates2 values2 values1
1: 2015-10-26 12:00:00       A       a
2: 2015-10-26 13:00:00       A       b
3: 2015-10-26 14:00:00       C       c

values2 "A" 使用了两次，一次用于 12:00 时间戳，一次用于 13:00.我希望每个 value2 只使用一次，并参考 data.table 手册我希望使用选项 mult = "first" 来解决这个问题.

The values2 "A" is used twice, once for the 12:00 timestamp and once for 13:00. I want each value2 to be used only once, and consulting the data.table manual I would expect to solve this problem with using the option mult = "first".

dt3 <- dt2[dt1,roll = "nearest", mult = "first"]

这会导致相同的输出，A"被使用了两次.我的错误在哪里?

This results in the same output, "A" is used twice. Where is my mistake?

推荐答案

当运行 dt2[dt1, roll = "nearest"] 时，您基本上是在说从 dt2 根据使用键在dt1中与每一行的最近连接.所以

When running dt2[dt1, roll = "nearest"] you are basically saying "return the rows from dt2 according to the nearest join to each row in dt1 using the key. So

dates2 in row one in dt2 离 dates1 在 one 行最近dt1

中的强>
dates2 in one in dt2 与 dates1 在 two 行最近dt1
中的强>
dates2 in row two in dt2 最接近 dates1 行 threedt1
中的强>

dates2 in row one in dt2 is the nearest to dates1 in row one in dt1
dates2 in row one in dt2 is the nearest to dates1 in row two in dt1
dates2 in row two in dt2 is the nearest to dates1 in row three in dt1

因此，

dt2[dt1, roll = "nearest"]
#                 dates2 values2 values1
# 1: 2015-10-26 12:00:00       A       a
# 2: 2015-10-26 13:00:00       A       b
# 3: 2015-10-26 14:00:00       C       c

所有来自dt1的行与来自dt2的连接values2.

Which are all the rows from dt1 with the joined values2 from dt2.

相反，我们想以相反的方式加入，即根据每一行根据最近的联接从dt2中提取values2"strong> 在 dt2 中使用键更新 dt1" 中匹配的行，即

Instead, we want to join the other way around, namely "extract values2 from dt2 according to the nearest join by each row in dt2 using the key and update the matched rows in dt1", namely

dt1[dt2, roll = "nearest", values2 := i.values2]
dt1
#                 dates1 values1 values2
# 1: 2015-10-26 12:00:00       a       A
# 2: 2015-10-26 13:00:00       b      NA
# 3: 2015-10-26 14:00:00       c       C

一些附加说明

Some additional notes

你不需要先包装到data.frame然后再到data.table，你可以只做dt1 <- data.table(dates1, values1) 等
当你在做的时候，你已经可以使用 key 参数 data.table 即时设置密钥，即 dt1 <- data.table(date1, values1, key = "dates1") 等
或者你可以一起跳过设置键并使用 on 代替(V 1.9.6+)，即 dt1[dt2, roll = "nearest", values2 := i.values2, on = c(dates1 = "dates2")]
最后，请不要制作不必要的副本，例如，不要使用 <- 和 data.table(df) 使用 :=和 setDT(df)，请参阅此处了解更多信息

You don't need to wrap first to data.frame and then to data.table, you can just do dt1 <- data.table(dates1, values1) and etc.
While you at it, you can already set the key on the fly using key parameter data.table, namely dt1 <- data.table(dates1, values1, key = "dates1") and etc.
Or you can skip setting keys all together and use on instead (V 1.9.6+), namely dt1[dt2, roll = "nearest", values2 := i.values2, on = c(dates1 = "dates2")]
Finally, please refrain from making unnecessary copies, e.g., instead of <- and data.table(df) use := and setDT(df), see here for more information

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