使用rollapply应用滚动误差函数

Question

[我正在尝试在R中计算滚动误差函数，在此我要花费最近30天并计算均方根值，向前移动1天并从这一点开始花费最后30天并计算新均方根值。

我的数据如下所示，其中有一个日期和两个值：

         dates         val1         val2
1   2010-01-01 -0.479526441 -0.294149127
2   2010-01-02 -0.860588950  0.426375720
3   2010-01-03 -0.660643894 -1.483020861
4   2010-01-04 -0.938748812 -1.631823690

我在哪里出错？

数据和尝试：

d <- data.frame(
  dates = seq(from = as.Date("2010-01-01"), to = as.Date("2012-12-31"), by = 1),
  val1 = rnorm(1096),
  val2 = rnorm(1096)
)

d %>% 
  mutate(rollRMSE = rollapply(., width = 30, by = 1, FUN = Metrics::rmse(val1, val2)))

Answer 1

与之前提到的相同，我已经将步骤切成薄片：

suppressPackageStartupMessages(library(dplyr))

d <- data.frame(
        dates = seq(from = as.Date("2010-01-01"), to = as.Date("2012-12-31"), by = 1),
        val1 = rnorm(1096),
        val2 = rnorm(1096)
)

rse <- function(x, y){sqrt((x-y)**2)}

d %>% tibble::as_tibble() %>% 
        mutate(err = rse(val1, val2),
             roll = c(zoo::rollapply(err, width = 30, by = 1, FUN = mean), rep(NA, 29) )
)
#> # A tibble: 1,096 x 5
#>    dates          val1   val2   err  roll
#>    <date>        <dbl>  <dbl> <dbl> <dbl>
#>  1 2010-01-01 -0.0248   1.18  1.20   1.40
#>  2 2010-01-02 -0.684    0.603 1.29   1.38
#>  3 2010-01-03 -0.344   -1.92  1.58   1.42
#>  4 2010-01-04  0.447    0.319 0.128  1.38
#>  5 2010-01-05  0.123   -0.810 0.933  1.42
#>  6 2010-01-06  0.00384  2.29  2.29   1.43
#>  7 2010-01-07 -1.51    -1.03  0.487  1.39
#>  8 2010-01-08  0.394   -1.25  1.64   1.41
#>  9 2010-01-09 -1.30     1.61  2.92   1.42
#> 10 2010-01-10  0.394    0.117 0.278  1.33
#> # ... with 1,086 more rows

Answer 2

您可以使用R为基数手动进行操作

sapply(seq(0, (nrow(d) - 30)), function(i) Metrics::rmse(d$val1[(seq(30) + i)], d$val2[(seq(30) + i)]))