我有一个 xts 对象，对其执行回归，提取每列斜率系数的 t 值，然后在 5 个周期间隔内滚动应用。但是，由于某种原因，日期/时间索引值在 rollapply 之后从 POSIXct 更改为基于秒的时间戳。我需要它不更改或更改回 POSIXct ......有什么想法吗？
> class(w)
[1] "xts" "zoo"
> dput(w)
structure(c(41.8, 41.52, 41.95, 41.95, 41.58, 41.27, 41.02, 41.4,
41.27, 41.51, 41.94, 42.27, 42.15, 41.5, 41.9, 41.04, 41.08,
41.53, 41.21, 41.15, 41.82, 41.6, 41.8, 42.13, 41.44, 40.92,
41, 41.15, 40.78, 40.155, 53.64, 53.42, 54.07, 54.14, 53.82,
53.04, 52.89, 53.23, 53.17, 53.69, 54.58, 55.09, 54.88, 54.14,
54.52, 53.35, 53.38, 53.7, 53.62, 53.58, 54.21, 53.69, 53.56,
54.07, 53.26, 52.78, 52.8, 52.76, 52.5, 51.95, 91.89, 92.12,
92.51, 92.46, 92.33, 92.07, 91.85, 92.35, 92.51, 92.93, 93.27,
93.48, 93.43, 92.96, 92.98, 92.63, 92.55, 92.7, 92.48, 92.59,
92.54, 92.41, 92.26, 92.4, 91.85, 91.55, 91.39, 91.42, 91.21,
90.71, 108.45, 108.56, 108.13, 107.64, 107.99, 107.77, 108.03,
108.13, 108.14, 108.17, 107.66, 106.98, 106.79, 107.24, 106.88,
107.39, 107.16, 106.77, 107.45, 107.89, 107.53, 107.62, 107.88,
107.39, 108.29, 108.77, 108.78, 108.85, 108.98, 109.01, 83.88,
83.64, 84.21, 84.11, 83.58, 82.6, 82.47, 82.77, 82.1, 82.64,
83.25, 84, 83.54, 81.85, 81.83, 81.42, 81.2, 81.53, 81.14, 81.63,
82.49, 81.19, 81.73, 82.34, 80.34, 79.21, 79.38, 79.15, 78.7,
77.24, 64.46, 64.65, 64.41, 64.69, 64.42, 64.14, 64.22, 64.23,
63.95, 64.38, 64.68, 64.78, 65.39, 64.78, 64.55, 63.9, 63.94,
63.66, 63.29, 64, 64.07, 64.5, 64.02, 64.16, 63.84, 63.19, 62.98,
62.88, 62.68, 61.46, 124.25, 124.29, 122.74, 121.15, 122.17,
121.95, 122.81, 123.66, 123.97, 123.69, 121.98, 120.85, 120.11,
121.74, 120.96, 122.69, 121.48, 120.86, 122.64, 123.36, 122.35,
122.26, 122.95, 121.79, 124, 125.84, 125.98, 126.19, 126.61,
126.73), class = c("xts", "zoo"), .indexCLASS = c("POSIXct",
"POSIXt"), .indexTZ = "GMT", index = structure(c(1349136000,
1349222400, 1349308800, 1349395200, 1349654400, 1349740800, 1349827200,
1349913600, 1.35e+09, 1350259200, 1350345600, 1350432000, 1350518400,
1350604800, 1350864000, 1350950400, 1351036800, 1351123200, 1351209600,
1351641600, 1351728000, 1351814400, 1352073600, 1352160000, 1352246400,
1352332800, 1352419200, 1352678400, 1352764800, 1352851200), tzone = "GMT", tclass = c("POSIXct",
"POSIXt")), .Dim = c(30L, 7L), .Dimnames = list(NULL, c("EEM",
"EFA", "HYG", "IEF", "IWM", "IYR", "TLT")))
执行回归
x <- w
f <- function (x) {
res <- coef(summary(lm(x ~ time(x))))
sapply(res, "[" ,"time(x)" ,"t value")
}
滚动应用超过 5 个周期
r <- rollapplyr(x, 5, f, by.column=FALSE)
日期/时间更改？
> last(r,5)
Response EEM Response EFA Response HYG Response IEF Response IWM Response IYR Response TLT
1352332800 -1.318353 -1.663508 -3.328802 2.158261 -1.655036 -3.871996 2.349788
1352419200 -2.916606 -2.456015 -4.642054 2.706211 -3.326938 -4.142477 3.192453
1352678400 -2.117244 -2.981824 -3.803602 3.148467 -2.917112 -6.177137 3.751326
1352764800 -1.623254 -3.322795 -4.656230 3.228277 -3.103968 -4.505336 3.128703
1352851200 -1.278702 -2.681911 -2.102026 0.918324 -3.453862 -9.012422 1.074501
会话信息
> sessionInfo()
R version 2.15.1 (2012-06-22)
Platform: x86_64-pc-mingw32/x64 (64-bit)
locale:
[1] LC_COLLATE=English_United States.1252 LC_CTYPE=English_United States.1252 LC_MONETARY=English_United States.1252
[4] LC_NUMERIC=C LC_TIME=English_United States.1252
attached base packages:
[1] stats graphics grDevices datasets utils methods base
other attached packages:
[1] quantmod_0.3-17 Defaults_1.1-1 TTR_0.21-1 xts_0.8-6 zoo_1.7-7
loaded via a namespace (and not attached):
[1] grid_2.15.1 lattice_0.20-6 tools_2.15.1
添加 str()
> str(r)
‘zoo’ series from 1349654400 to 1352851200
Data: num [1:26, 1:7] -0.0135 -0.9163 -7.4406 -1.9796 -0.7066 ...
- attr(*, "dimnames")=List of 2
..$ : NULL
..$ : chr [1:7] "Response EEM" "Response EFA" "Response HYG" "Response IEF" ...
Index: Class 'POSIXct' atomic [1:26] 1.35e+09 1.35e+09 1.35e+09 1.35e+09 1.35e+09 ...
..- attr(*, "tzone")= chr "GMT"