How to calculate the average slope within a moving window in R

问题

My dataset contains 2 variables y and t [05s]. y was measured every 05 seconds.

I am trying to calculate the average slope within a moving 20-second-window, i.e. after calculating the first 20-second slope value the window moves forward one time unit (05 seconds) and calculates the next 20-second-window, producing successive 20-second slope values at 05-second increments.

I thought that calculating a rolling regression with rollapply (zoo package) would do the trick, but I get the same intercept and slope values for each window over and over again. What can I do?

My data:

dput(DataExample)
structure(list(t = c(0, 0.05, 0.1, 0.15, 0.2, 0.25, 0.3, 0.35, 
0.4, 0.45, 0.5, 0.55, 0.6, 0.65, 0.7, 0.75, 0.8, 0.85, 0.9, 0.95, 
1, 1.05, 1.1, 1.15, 1.2, 1.25, 1.3, 1.35, 1.4, 1.45, 1.5, 1.55, 
1.6, 1.65, 1.7, 1.75, 1.8, 1.85, 1.9, 1.95, 2, 2.05, 2.1, 2.15, 
2.2, 2.25, 2.3, 2.35, 2.4, 2.45, 2.5, 2.55, 2.6, 2.65, 2.7, 2.75, 
2.8, 2.85, 2.9, 2.95, 3, 3.05, 3.1, 3.15, 3.2, 3.25, 3.3, 3.35, 
3.4, 3.45, 3.5, 3.55, 3.6, 3.65, 3.7, 3.75, 3.8, 3.85, 3.9, 3.95, 
4, 4.05, 4.1, 4.15, 4.2, 4.25, 4.3, 4.35, 4.4, 4.45, 4.5, 4.55, 
4.6, 4.65, 4.7, 4.75, 4.8, 4.85, 4.9, 4.95, 5, 5.05, 5.1, 5.15, 
5.2, 5.25, 5.3, 5.35, 5.4, 5.45, 5.5, 5.55, 5.6, 5.65, 5.7, 5.75, 
5.8, 5.85, 5.9, 5.95, 6, 6.05, 6.1, 6.15, 6.2, 6.25, 6.3, 6.35, 
6.4, 6.45, 6.5, 6.55, 6.6, 6.65, 6.7, 6.75, 6.8, 6.85, 6.9, 6.95, 
7, 7.05, 7.1, 7.15, 7.2, 7.25, 7.3, 7.35, 7.4, 7.45, 7.5, 7.55, 
7.6, 7.65, 7.7, 7.75, 7.8, 7.85, 7.9, 7.95, 8, 8.05, 8.1, 8.15, 
8.2, 8.25, 8.3, 8.35, 8.4, 8.45, 8.5, 8.55, 8.6, 8.65, 8.7, 8.75, 
8.8, 8.85, 8.9, 8.95, 9, 9.05, 9.1, 9.15, 9.2, 9.25, 9.3, 9.35, 
9.4, 9.45, 9.5, 9.55, 9.6, 9.65, 9.7, 9.75, 9.8, 9.85, 9.9, 9.95, 
10, 10.05, 10.1, 10.15, 10.2, 10.25, 10.3), y = c(3.05, 3.04, 
3.02, 3.05, 3.01, 3.02, 3.02, 3.05, 3.02, 3.01, 3.04, 3.04, 3.03, 
3.03, 3.03, 3.02, 3.02, 3.03, 3.03, 3.03, 3.04, 3.03, 3.03, 3.03, 
3.03, 3.02, 3.02, 3.02, 3.01, 3.03, 3.03, 3.03, 3.03, 3.03, 3.02, 
3.01, 3.02, 3.02, 3.01, 3.02, 3.02, 3.02, 3.03, 3.02, 3.02, 3.01, 
3.01, 3.02, 3.01, 3.02, 3.02, 3.02, 3.02, 3.01, 3.01, 3.01, 3.01, 
3.02, 3, 3.01, 3.02, 3.02, 3.02, 3.01, 3.01, 3.01, 3.01, 3.02, 
3, 3.01, 3.01, 3.01, 3.01, 3.01, 3.01, 3, 3, 3.01, 3, 3, 3.01, 
3.01, 3.01, 3.01, 3, 3, 3, 3.01, 3, 3, 3.01, 3.01, 3.01, 3.01, 
3.01, 3.01, 3, 3.02, 3, 3.01, 3.02, 3.04, 3.05, 3.08, 3.04, 3.06, 
3.08, 3.06, 3.08, 3.09, 3.04, 3.05, 3.07, 3.08, 3.06, 3.08, 3.08, 
3.07, 3.08, 3.08, 3.05, 3.06, 3.07, 3.07, 3.06, 3.08, 3.08, 3.08, 
3.08, 3.08, 3.05, 3.06, 3.08, 3.08, 3.06, 3.09, 3.07, 3.08, 3.08, 
3.08, 3.06, 3.07, 3.07, 3.07, 3.06, 3.09, 3.07, 3.07, 3.08, 3.08, 
3.06, 3.07, 3.07, 3.07, 3.06, 3.09, 3.07, 3.07, 3.07, 3.08, 3.07, 
3.07, 3.07, 3.07, 3.06, 3.08, 3.07, 3.07, 3.06, 3.08, 3.07, 3.07, 
3.07, 3.07, 3.06, 3.08, 3.07, 3.07, 3.06, 3.08, 3.06, 3.07, 3.06, 
3.07, 3.06, 3.08, 3.07, 3.07, 3.06, 3.07, 3.06, 3.07, 3.06, 3.07, 
3.06, 3.07, 3.06, 3.06, 3.06, 3.07, 3.04, 3.04, 3.04, 3.06, 3.06, 
3.04, 3.04)), class = c("tbl_df", "tbl", "data.frame"), row.names = c(NA, 
-207L), .Names = c("t", "y"))

R-Code:

require(zoo)
library("zoo", lib.loc="~/R/win-library/3.3")
rollapply(zoo(DataExample),
          width=5,
          FUN = function(Z) 
          { 
            z = lm(formula=y~t, data = as.data.frame(DataExample)); 
            return(z$coef) 
          }, by=1,
          by.column=FALSE, align="right")

回答1:

The comment seems to have been deleted but it was pointed out that the function in rollapply in the code in the question was not using the argument passed to it. After fixing that and making some other minor improvements, this returns the intercept and the slope in columns 1 and 2 respectively.

library(zoo)

Coef <- function(Z) coef(lm(y ~ t, as.data.frame(Z)))    
rollapplyr(zoo(DataExample), 5, Coef, by.column = FALSE)

回答2:

Here a complete code to illustrate what I was meaning with the speed of .lm.fit and lm. As well as a usage with data.table.

library(zoo)
library(data.table)
library(ggplot2)
theme_set(theme_bw())
library(microbenchmark)

# function for linear regression and find the slope coefficient
rollingSlope.lm <- function(vector) {

  a <- coef(lm(vector ~ seq(vector)))[2]
  return(a)

}

rollingSlope.lm.fit <- function(vector) {

  a <- coef(.lm.fit(cbind(1, seq(vector)), vector))[2]
  return(a)

}

# create data example
test <- data.table(x = seq(100), y = dnorm(seq(100), mean=75, sd=30))
ggplot(test, aes(x, y))+ geom_point()

# graphics about the slope calculated
test[, ':=' (Slope.lm.fit = rollapply(y, width=5, FUN=rollingSlope.lm.fit, fill=NA),
             Slope.lm = rollapply(y, width=5, FUN=rollingSlope.lm, fill=NA))]
# change the width size
test[, ':=' (Slope.lm.fit.50 = rollapply(y, width=50, FUN=rollingSlope.lm.fit, fill=NA),
             Slope.lm.50 = rollapply(y, width=50, FUN=rollingSlope.lm, fill=NA))]
# melt data for plotting
test2 <- melt.data.table(test, measure.vars=c("Slope.lm.fit", "Slope.lm", "Slope.lm.fit.50", "Slope.lm.50"))
ggplot(test2, aes(x, value))+ geom_point(aes(color=variable))

# efficiency of the 2 lm
mb <- microbenchmark(lm.fit = a <- rollapply(test$y, 5, rollingSlope.lm.fit, fill=NA),
                     lm = b <- rollapply(test$y, 5, rollingSlope.lm, fill=NA))
# check if they equal
all.equal(a, b, check.attributes=FALSE)
    # TRUE
# plot results
boxplot(mb, unit="ms", notch=TRUE)

回答3:

This is how I would go about doing it without the zoo library

## Modified version of your function that does not rely on accessing
## variables that is external to its environment.
slopes<-function(data) { 
            z = lm(formula=y~t, data=data ); 
            z$coef ## Implicit return of last variable
}

## The number of frames to take the windowed slope of
windowsize<-4

do.call(rbind,lapply(seq(dim(data)[1]-windowsize),
                     function(x) slopes(data[x:(x+windowsize),])))

It iterates over a list from 1 to length data - windowsize subsetting data into overlapping window sizes of 4. The subsetted data is then passed to your slopes function before being bound into a single array.

回答4:

I've tried to plot slopes as geom_segment() but I failed. At least I've got the df with different values for slope:

slope <- function(dat){
        return(data.frame(t = sprintf("[%f,%f]", min(dat$t), max(dat$t)),
                          slope = lm(y~t-1, data = dat)$coef, 
                          row.names = NULL)
               )
}

mw <- function(dtf, wdth = 0.2, incr = 0.05){
        if(!nrow(dtf)){
                return(data.frame())
        }
        return(rbind(slope(dtf[dtf$t <= min(dtf$t) + wdth,]),
                mw(dtf[dtf$t >= min(dtf$t) + incr,])
                )
        )
}


slp <- mw(dtf)
head(slp)
tail(slp)

#                    t     slope
#  1 [0.000000,0.200000] 20.180000
#  2 [0.050000,0.250000] 16.498182
#  3 [0.100000,0.300000] 13.433333
#  4 [0.200000,0.400000]  9.554737
#  5 [0.250000,0.450000]  8.299608
#  6 [0.300000,0.500000]  7.340606
#    ...
#175 [9.900000,10.100000] 0.3049778
#176 [10.000000,10.200000] 0.3017733
#177 [10.050000,10.250000] 0.3002829
#178 [10.150000,10.300000] 0.2982748
#179 [10.250000,10.300000] 0.2958620
#180 [10.300000,10.300000] 0.2951456

来源：https://stackoverflow.com/questions/41061140/how-to-calculate-the-average-slope-within-a-moving-window-in-r

标签

zoo

rollapply