从多个 xts 对象创建虚拟对象

Question

我有多个 xts 对象，它们都是股票高于或低于某个中值的指标。这些列表的结构如下：大小变量为 S 或 B，值变量为 H 或 L，动量变量为 D 或 U。这就是我的三个 xts 对象的一部分

 `         NESN ROG NOVN ZURN ABBN UBSG LONN 
1989-12-01 "B"  "B" "B"  "S"  "S"  "B"  NA  
1990-01-01 "B"  "B" "B"  "B"  "S"  "B"  NA`  

           NESN ROG NOVN ZURN ABBN UBSG LONN 
1989-12-01 "H"  "L" "L"  "H"  "L"  "L"  NA  
1990-01-01 "H"  "H" "L"  "H"  "L"  "L"  NA

          NESN ROG NOVN ZURN ABBN UBSG LONN 
1989-12-01 "D"  "U" "U"  "D"  "D"  "D"  NA  
1990-01-01 "D"  "U" "D"  "D"  "D"  "U"  NA

现在我想生成一个将这三个列表考虑在内的新列表，这样我就可以创建一个等于 1 的虚拟变量，例如当股票在 S、L 和 D 时。结果看起来像这个：

           NESN ROG NOVN ZURN ABBN UBSG LONN 
1989-12-01 NA  NA   NA   NA   1    NA   NA  
1990-01-01 NA  NA   NA   NA   1    NA   NA

我尝试了以下方法：

SLD_dummy <- ifelse(big_small=="S" & high_low=="L" & up_down=="D",1,NA)

但是，我收到以下错误：

Error in `[.xts`(x, i, which.i = TRUE) : subscript out of bounds

有人知道我怎样才能得到想要的结果吗？预先感谢您的帮助。

Answer 1

您可以在 xts 对象上使用 replace：

library(xts)
library(magrittr)
big_small <- as.xts(read.table(text='       NESN ROG NOVN ZURN ABBN UBSG LONN 
                   1989-12-01 "B"  "B" "B"  "S"  "S"  "B"  NA  
                   1990-01-01 "B"  "B" "B"  "B"  "S"  "B"  NA'))

high_low <- as.xts(read.table(text='       NESN ROG NOVN ZURN ABBN UBSG LONN 
1989-12-01 "H"  "L" "L"  "H"  "L"  "L"  NA  
1990-01-01 "H"  "H" "L"  "H"  "L"  "L"  NA'))

up_down <- as.xts(read.table(text='        NESN ROG NOVN ZURN ABBN UBSG LONN 
1989-12-01 "D"  "U" "U"  "D"  "D"  "D"  NA  
1990-01-01 "D"  "U" "D"  "D"  "D"  "U"  NA'))

m <- big_small=="S" & high_low=="L" & up_down=="D"
replace(m, m==T, 1) %>% replace(., m==F, NA)
#>            NESN ROG NOVN ZURN ABBN UBSG LONN
#> 1989-12-01   NA  NA   NA   NA    1   NA   NA
#> 1990-01-01   NA  NA   NA   NA    1   NA   NA

^{由 reprex package (v2.0.0)}

创建于 2021-05-22

（或者m[m==TRUE] <- 1; m[m==FALSE] <- NA）

Answer 2

我们也可以在 base R 中使用 Map/Reduce（使用 R 4.1.0）

library(xts)
Map(`==`, list(big_small, high_low, up_down), c('S', 'L', 'D')) |> 
    {\(x) Reduce(`&`, x)}() |> 
    {\(x) NA^(!x)}()

-输出

#          NESN ROG NOVN ZURN ABBN UBSG LONN
#1989-12-01   NA  NA   NA   NA    1   NA   NA
#1990-01-01   NA  NA   NA   NA    1   NA   NA

数据

big_small <- structure(c("B", "B", "B", "B", "B", "B", "S", "B", "S", "S", 
"B", "B", NA, NA), .Dim = c(2L, 7L), .Dimnames = list(NULL, c("NESN", 
"ROG", "NOVN", "ZURN", "ABBN", "UBSG", "LONN")), index = structure(c(628491600, 
631170000), tzone = "", tclass = c("POSIXct", "POSIXt")), class = c("xts", 
"zoo"))

high_low <- structure(c("H", "H", "L", "H", "L", "L", "H", "H", "L", "L", 
"L", "L", NA, NA), .Dim = c(2L, 7L), .Dimnames = list(NULL, c("NESN", 
"ROG", "NOVN", "ZURN", "ABBN", "UBSG", "LONN")), index = structure(c(628491600, 
631170000), tzone = "", tclass = c("POSIXct", "POSIXt")), class = c("xts", 
"zoo"))

up_down <- structure(c("D", "D", "U", "U", "U", "D", "D", "D", "D", "D", 
"D", "U", NA, NA), .Dim = c(2L, 7L), .Dimnames = list(NULL, c("NESN", 
"ROG", "NOVN", "ZURN", "ABBN", "UBSG", "LONN")), index = structure(c(628491600, 
631170000), tzone = "", tclass = c("POSIXct", "POSIXt")), class = c("xts", 
"zoo"))

从多个 xts 对象创建虚拟对象

Creating dummy from multiple xts objects

r

xts

数据