具有重复值的时间序列

时间:2019-05-02 19:40:50

标签: r

有什么更好的传播时间序列数据的方法。我有重复的观察结果,所以我包含了i = row_number(),但这带来了引入NA和现在重复的日期的新问题。

x <- portfolio_prices %>%
  mutate(i = row_number()) %>%
  spread(cusip, prc)

应用上面的代码后,我的数据如下所示:

    date_ret   i 92220P10 G7665A10
1 2010-06-02   1       NA    24.68
2 2010-06-02 252    51.11       NA
3 2010-06-03   2       NA    23.79
4 2010-06-03 253    51.85       NA
5 2010-06-04   3       NA    22.71
6 2010-06-04 254    49.50       NA

我想先查询数据,但只有1个日期,没有重复的日期。

数据:

portfolio_prices <- structure(list(cusip = c("G7665A10", "G7665A10", "G7665A10", 
"G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", 
"G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", 
"G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", 
"G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", 
"G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", 
"G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", 
"G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", 
"G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", 
"G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", 
"G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", "G7665A10", 
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"92220P10", "92220P10", "92220P10", "92220P10", "92220P10"), 
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1 个答案:

答案 0 :(得分:1)

考虑到您要传播的变量,我在提供的数据集中没有看到重复项

library(dplyr)
library(tidyr)

portfolio_prices %>% 
  nrow()

portfolio_prices %>% 
  as_tibble() %>% 
  distinct(cusip, date_ret) %>% 
  nrow()

以便您可以直接传播它们

portfolio_prices %>% 
  as_tibble() %>% 
  spread(cusip, prc)

如果您确实有重复项,则可能要在进行突变之前使用group_by,如下所示:

portfolio_prices %>% 
  as_tibble() %>% 
  group_by(date_ret) %>% 
  mutate(row = 1:n()) %>% 
  ungroup() %>% 
  spread(cusip, prc)