Rollapply in R time frame indexing-CodePudding

Let's say I have the following data frame of series.

library(zoo)
n=10
date = as.Date(1:n);date
y = rnorm(10);y
dat = data.frame(date,y)
dat

         date           y
1  1970-01-02 -0.02052313
2  1970-01-03  0.28255304
3  1970-01-04 -0.10718621
4  1970-01-05 -1.19299366
5  1970-01-06  1.17072468
6  1970-01-07  0.55849119
7  1970-01-08  0.30474050
8  1970-01-09 -0.30777180
9  1970-01-10 -0.01874367
10 1970-01-11 -0.74233556

Calculating the rolling standard deviation with width (rolling window) of 3 days,i do:

a = zoo::rollapply(dat$y,3,sd)

With results:

       2         3         4         5         6 
1.7924102 0.4189522 0.4599979 0.4164408 0.3786601 
        7         8         9 
0.9481849 0.7048868 0.2494578

And finding the maximum standard deviation

max(a)
1.79241

Now I want to find out in which time 3-day interval this maximum refers to.How can I do that? Imagine that my series is 20 years, so I want to find the maximum standard deviation of this 20 years and extract the specific 3 day time interval.

CodePudding user response：

``` r
set.seed(123)

n=10

date = as.Date(1:n, origin = "1970-01-01")

y = rnorm(10)

dat = data.frame(date ,y)

roll_win <- 3

dat$a = c(rep(NA_real_, roll_win - 1), zoo::rollapply(dat$y, roll_win ,sd))

dat <- subset(dat, !is.na(a))

dat_max <- dat[dat$a == max(dat$a, na.rm = TRUE), ]

dat_max$date_start <- dat_max$date -  (roll_win - 1)

dat_max
#>         date         y        a date_start
#> 8 1970-01-09 -1.265061 1.496275 1970-01-07

^{Created on 2022-02-18 by the reprex package (v2.0.1)}

CodePudding user response：

In the case of a centered window, you can do:

step = (3-1)/2
wmax = which.max(a)
int = (wmax - step):(wmax   step)
dat[int[int > 0],] #Avoids error when wmax < step.

#         date          y
# 1 1970-01-02 -0.6264538
# 2 1970-01-03  0.1836433
# 3 1970-01-04 -0.8356286

#Data
library(zoo)
set.seed(1)
n=10
date = as.Date(1:n)
y = rnorm(10)
dat = data.frame(date,y)
dat

a = rollapply(dat$y,3,sd)