Rolling window slider::slide() with grouped data

问题

In the following example I try to compute the first coefficient from a linear model for time t = 1 until t. It's an expanding rolling window.

It works well with ungrouped data, but when grouped by case, I get the error Error: Columncoef1must be length 10 (the group size) or one, not 30.

How can I handle grouped data?

library(dplyr)
library(slider)

get_coef1 <- function(data) {
  coef1 <- lm(data = data, r1 ~ r2 + r3) %>% 
    coef() %>%
    .["r2"] %>% 
    unname()

  return(coef1)
}

data <- tibble(t = rep(1:10, 3), 
               case = c(rep("a", 10), rep("b", 10), rep("c", 10)),
               r1 = rnorm(30),
               r2 = rnorm(30),
               r3 = rnorm(30))

data %>% 
  # ungroup() %>%
  group_by(case) %>%
  mutate(coef1 = slider::slide_dbl(., ~get_coef1(.x),
                               .before = Inf, .complete = T))

回答1:

You have to first tidyr::nest the cases. Within the nested tibbles (accessed via purrr::map) you can then apply slide (same technique as with purrr::map). The important point is that you do not want to slide across cases, but only within cases.

library(dplyr)
library(tidyr)
library(purrr)
library(slider)

get_coef1 <- function(data) {
  coef1 <- lm(data = data, r1 ~ r2 + r3) %>% 
    coef() %>%
    .["r2"] %>% 
    unname()

  return(coef1)
}

data <- tibble(t = rep(1:10, 3), 
               case = c(rep("a", 10), rep("b", 10), rep("c", 10)),
               r1 = rnorm(30),
               r2 = rnorm(30),
               r3 = rnorm(30))

data %>% 
  # ungroup() %>%
  group_by(case) %>% nest() %>%
  mutate(rollreg = map(data, ~ .x %>% mutate(coef1 = slider::slide_dbl(., ~get_coef1(.x), .before = Inf, .complete = TRUE)))) %>%
  select(-data) %>% unnest(rollreg)

I have been trying for a while to use the new dplyr::nest_by() from dplyr 1.0.0 trying to use summarise in combination with the rowwise cases but couldn't get that to work.

来源：https://stackoverflow.com/questions/61390850/rolling-window-sliderslide-with-grouped-data

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dplyr