问题描述
在 R 中为任意变量(即不是常规时间序列)制作滞后变量矩阵的最有效方法是什么
What is the most efficient way to make a matrix of lagged variables in R for an arbitrary variable (i.e. not a regular time series)
例如:
输入:
x <- c(1,2,3,4)
2 滞后，输出:
[1,NA, NA]
[2, 1, NA]
[3, 2, 1]
[4, 3, 2]
推荐答案
您可以使用内置的 embed() 函数来实现这一点，它的第二个 'dimension' 参数等同于您的'已经称为'滞后':
You can achieve this using the built-in embed() function, where its second 'dimension' argument is equivalent to what you've called 'lag':
x <- c(NA,NA,1,2,3,4)
embed(x,3)
## returns
[,1] [,2] [,3]
[1,] 1 NA NA
[2,] 2 1 NA
[3,] 3 2 1
[4,] 4 3 2
embed() 在 Joshua Reich 的上一个答案.(请注意，我在 x 前面加上了 NA 来复制您想要的输出).
embed() was discussed in a previous answer by Joshua Reich. (Note that I prepended x with NAs to replicate your desired output).
它的名字不是特别好，但它对于涉及滑动窗口的操作非常有用且功能强大，例如滚动求和和移动平均线.
It's not particularly well-named but it is quite useful and powerful for operations involving sliding windows, such as rolling sums and moving averages.
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