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我试图在两个data.table
列之间进行滚动关联。Rolling correlation with data.table
dt <- data.table(a=-1:10,b=1:12)
> dt
a b
1: -1 1
2: 0 2
3: 1 3
4: 2 4
5: 3 5
6: 4 6
7: 5 7
8: 6 8
9: 7 9
10: 8 10
11: 9 11
12: 10 12
这就是我一直在使用rollapply
从zoo
尝试:
library(zoo)
dt[,rcor:=rollapplyr(as.list(a,b),width=5,
FUN=function(y) {return(cor(y[[1]],y[[2]]))},fill=NA)]
Error in zoo(data) : “x” : attempt to define invalid zoo object
与roll_cor
从roll
:
library(roll)
roll_cor(dt[,.(a,b)],5)
Error in roll_cor(dt[, .(a, b)], 5) :
Not compatible with requested type: [type=list; target=double].
很棒。谢谢。 –