[R] LOCF - Last Observation Carried Forward
Tony Plate
tplate at acm.org
Fri Nov 14 18:20:17 CET 2003
Here's a function that does the essential computation (written to work in
both S-plus and R).
This looks like one of those tricky problems that do not vectorize
easily. It would be simple to write a C-program to compute this very
efficiently. But are there any more efficient solutions than ones like the
below (that are written without resort to C)?
most.recent <- function(x) {
# return a vector of indices of the most recent TRUE value
if (!is.logical(x))
stop("x must be logical")
x[is.na(x)] <- FALSE
# x is a logical vector
r <- rle(x)
ends <- cumsum(r$lengths)
starts <- ends - r$lengths + 1
spec <- as.list(as.data.frame(rbind(start=starts, len=r$lengths,
value=as.numeric(r$values), prev.end=c(NA, ends[-length(ends)]))))
names(spec) <- NULL
unlist(lapply(spec, function(s) if (s[3]) seq(s[1], len=s[2]) else
rep(s[4], len=s[2])), use.names=F)
}
> x <- c(F,T,T,F,F,F,T,F)
> most.recent(x)
[1] NA 2 3 3 3 3 7 7
And using it to do the fill-forward:
> x <- c(NA,2,3,NA,4,NA,5,NA,NA,NA,6,7,8,NA)
> x[most.recent(!is.na(x))]
[1] NA 2 3 3 4 4 5 5 5 5 6 7 8 8
>
Some timings:
> x <- sample(c(T,F),1e4,rep=T)
> system.time(most.recent(x))
[1] 0.33 0.01 0.47 NA NA
> x <- sample(c(T,F),1e5,rep=T)
> system.time(most.recent(x))
[1] 4.27 0.06 6.44 NA NA
> x <- sample(c(T,F),1e6,rep=T)
> system.time(most.recent(x))
[1] 47.27 0.17 47.97 NA NA
>
-- Tony Plate
PS. Actually, I just found a solution that I had lying around that is about
70 times as fast on random test data like the above.
At Friday 03:07 PM 11/14/2003 +0100, Karl Knoblick wrote:
>Hi!
>
>Is there a possibilty in R to carry out LOCF (Last Observation Carried
>Forward) analysis or to create a new data frame (array, matrix) with LOCF?
>Or some helpful functions, packages?
>
>Karl
>
>
>
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Tony Plate tplate at acm.org
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