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我在处理 xts 对象列表时遇到问题。在列表元素上运行时,我会遇到不同且奇怪的行为lapply,有时还会出现程序段错误。我在 Ubuntu 9.10 上运行 R 2.12.2,尽管我在 Windows XP 上运行 2.13.1 时遇到了类似的问题。

我正在尝试将包含季度财务数据的数据框拆分为多个时间序列。我在 CIK 代码上拆分数据帧,这是一个整数。数据框是:

> head(CQ[,c("datadate","fqtr","cik","ibq","mkvaltq","prccq","sic")])
    datadate fqtr    cik     ibq    mkvaltq prccq  sic
3 2009-12-31    1  61478   3.400  601.12800  6.21 3661
4 2010-03-31    2  61478 -13.000  709.07000  7.31 3661
5 2010-06-30    3  61478  75.900  718.77000  7.41 3661
6 2010-09-30    4  61478  10.900 1231.52400 12.67 3661
7 2004-03-31    3 319126   0.424    9.73455  1.05 3861
8 2004-06-30    4 319126   0.407   13.90650  1.50 3861
...

我用来创建 xts 对象列表的代码是:

CQT<-by(CQ[c("datadate","ibq","cik","mkvaltq","prccq","sic","fqtr")],CQ$cik,function(x)
  {
   xts(x,order.by=x$datadate,frequency=4)
  }
)
CQT<-as.list(CQT)

我不确定转换为列表是否绝对必要,但我对列表感到满意。

这将创建以下数据结构,这对我来说似乎是正确的:

> head(CQT)
$`20`
           datadate     ibq     cik  mkvaltq     prccq      sic    fqtr
2004-03-31 "2004-03-31" "1.422" "20" " 53.75880" " 21.8000" "3823" "1" 
2004-06-30 "2004-06-30" "1.389" "20" " 55.04400" " 22.0000" "3823" "2" 
2004-09-30 "2004-09-30" "1.562" "20" " 55.69816" " 22.1200" "3823" "3" 
2004-12-31 "2004-12-31" "2.237" "20" " 67.11840" " 26.5500" "3823" "4" 
2005-03-31 "2005-03-31" "1.643" "20" " 77.28716" " 30.4400" "3823" "1" 
2005-06-30 "2005-06-30" "1.916" "20" " 75.12520" " 29.3000" "3823" "2" 
...

当我尝试lapplyCQT. 在多次遇到问题后,我将测试代码压缩为:

lapply(CQT,function(x) {
  lag.xts(x[,"prccq"],1)
  }
)

我想如果我能做到这一点,那么我可能走在正确的轨道上。

此代码有时只会出现段错误。例如,在我运行的最近一次迭代中(出于发布的目的),代码可以很好地通过许多记录。例如:

$`6494`
           prccq  
2004-03-31 NA     
2004-06-30 "0.240"
2004-09-30 "0.150"
2004-12-31 "0.090"
2005-03-31 "0.062"
...

但是,它会抛出:

$`6720`

Error in vector(storage.mode(x)) : 
vector: cannot make a vector of mode 'NULL'.

这并不总是错误的:有时我会收到关于角色或其他东西的抱怨,而且它从来没有在同一个记录上停止过两次。此特定记录似乎没有任何问题:

> CQT$"6720"
           datadate     ibq        cik    mkvaltq    prccq   sic    fqtr
2004-03-31 "2004-03-31" "  10.740" "6720" "559.8638" "16.03" "3949" "1" 
2004-06-30 "2004-06-30" "   6.178" "6720" "558.6060" "15.70" "3949" "2" 
2004-09-30 "2004-09-30" "  13.198" "6720" "667.6474" "14.31" "3949" "3" 
2004-12-31 "2004-12-31" "   8.825" "6720" "743.1205" "15.88" "3949" "4" 
2005-03-31 "2005-03-31" "   2.324" "6720" "643.6650" "13.75" "3949" "1" 
2005-06-30 "2005-06-30" "   1.453" "6720" "594.0200" "12.68" "3949" "2" 
2005-09-30 "2005-09-30" "  16.740" "6720" "534.5802" "11.40" "3949" "3" 
2005-12-31 "2005-12-31" "-232.078" "6720" "474.1590" "10.11" "3949" "4" 
2006-03-31 "2006-03-31" "   3.642" "6720" "589.5614" "12.55" "3949" "1" 
2006-06-30 "2006-06-30" "   2.143" "6720" "514.9567" "10.94" "3949" "2" 
2006-09-30 "2006-09-30" "  21.518" "6720" "552.9757" "11.73" "3949" "3" 
2006-12-31 "2006-12-31" "  10.385" "6720" "651.7707" "13.19" "3949" "4" 
2007-03-31 "2007-03-31" "   4.767" "6720" "597.7659" "12.09" "3949" "1" 

我对此束手无策。我不确定我的编码是否不正确(我找不到使用 xts 对象列表的好例子),或者我的 xts 包是否有问题。我已经通过删除包然后使用 R-Forge 存储库重新安装来重新安装 xts,所以我应该拥有最新版本。

如果我可以提供任何其他信息,请告诉我。

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1 回答 1

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问题是 lag 的 C 代码现在在zoo包中,补丁应用于 R-forge 源 - 尚未应用于 CRAN 版本。这是大约一周前修复的。

更新您的zoo版本(来自 R-forge,版本号可能仍然相同),您应该会发现它可以工作。

于 2011-08-10T01:36:56.220 回答