[R] Rollapply

[Gabor Grothendieck]

See:

http://tolstoy.newcastle.edu.au/R/help/04/03/1446.html

On Wed, Jan 13, 2010 at 3:45 PM, Pete B <Peter.Brecknock at bp.com> wrote:
>
> Hi
>
> I would like to understand how to extend the function (FUN) I am using in
> rollapply below.
>
> ######################################
> With the following simplified data, test1 yields parameters for a rolling
> regression
>
> data = data.frame(Xvar=c(70.67,70.54,69.87,69.51,70.69,72.66,72.65,73.36),
>               Yvar =c(78.01,77.07,77.35,76.72,77.49,78.70,77.78,79.58))
> data.z = zoo(d)
>
> test1 = rollapply(data.z, width=3,
>          FUN = function(z) coef(lm(z[,1]~z[,2],
>          data=as.data.frame(z))), by.column = FALSE, align = "right")
>
> print(test1)
>
> ######################################
>
> Rewriting this to call myfn1 gives test2 (and is consistent with test1
> above)
>
> myfn1 = function(mydata){
>      dd = as.data.frame(mydata)
>      l = lm(dd[,1]~dd[,2], data=dd)
>      c = coef(l)
>    }
>
> test2 = rollapply(data.z, width=3,
>     FUN= myfn1, by.column = FALSE, align = "right")
>
> print(test2)
>
> ######################################
>
> I would like to be able to use the predict function to obtain a prediction
> (and its std error) from the rolling regression I have just calculated.
>
> My effort below issues a warning that 'newdata' had 1 row but variable(s)
> found have 3 rows.
> (if I run this outside of rollapply I don't get this warning)
>
> Also, I don't see the predicted value or its se with print(fm2[[1]]). Again,
> if I run this outside of rollapply I am able to extract the predicted value.
>
>
> Xpred=c(70.67)
>
> myfn2 = function(mydata){
>      dd = as.data.frame(mydata)
>      l = lm(dd[,1]~dd[,2], data=dd)
>      c = coef(l)
>      p = predict(l, data.frame(Xvar=Xpred),se=T)
>      ret=c(l,c,p)
>    }
>
> fm2 = rollapply(data.z, width=3,
>     FUN= myfn2, by.column = FALSE, align = "right")
>
> print(fm2[[1]])
>
>
> Any insights would be gratefully received.
>
> Best regards
>
> Pete
> --
> View this message in context: http://n4.nabble.com/Rollapply-tp1013345p1013345.html
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>
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