滚动vrtest？

Question

我试图在滚动窗口上运行'vrtest'包上的命令。我可以在一组数据上完美地运行它们，但是我很难使用'zoo'包中的rollapply函数。比方说，我的数据是一个数据帧x，其中变量是y，我想在时间上滚动10个观察值。我有30个观察，所以我应该有JR1，JR2和JS1的21个输出。因此，举例来说，如果我正在尝试进行滚动联合怀疑测试，那么我已经得到了最远的测试;

JWroll <- rollapply(x$y, 10, function(x){
    x<- Joint.Wright(x$y, kvec)}

我知道我需要在括号内的某处定义'kvec'，但我还没有让它工作。数据是;

10
10 
8
5
10
2 
8
2
10
2
8
8
10
10 
8
5
10
8 
8
12
10
7
8
7
8
1 
8
5
10
2 

非常感谢任何建议或帮助！

Answer 1

rollapply中的函数必须返回标量或普通向量，而不是列表。试试这个：

# input data
kvec <- c(2, 4, 6)
x <- c(10, 10, 8, 5, 10, 2, 8, 2, 10, 2, 8, 8, 10, 10, 8, 5, 10, 8, 
8, 12, 10, 7, 8, 7, 8, 1, 8, 5, 10, 2)

library(zoo)
library(vrtest)

# the -1 removes the holding period from the output; unlist makes it a plain vector
rollapply(x, 10, function(x) unlist(Joint.Wright(x, kvec)[-1]) )

，并提供：

            JR1       JR2      JS1
 [1,] 1.5864093 1.5907354 3.042555
 [2,] 2.1701906 2.1396224 3.042555
 [3,] 2.5298221 2.4731367 3.042555
 [4,] 2.1701906 2.1405101 3.042555
 [5,] 1.1831651 1.1973584 3.042555
 [6,] 0.9238698 0.9238698 3.042555
 [7,] 1.0155461 1.0177885 3.042555
 [8,] 1.4546477 1.4897304 3.042555
 [9,] 1.2983318 1.2741745 3.042555
[10,] 1.1148843 1.1287839 3.042555
[11,] 1.2347644 1.1613745 3.042555
[12,] 1.0711498 1.0541897 3.042555
[13,] 1.1704861 1.1552450 3.042555
[14,] 1.1895470 1.1769137 3.042555
[15,] 0.9343208 0.9388534 3.042555
[16,] 0.9531326 0.9467291 3.042555
[17,] 0.8966971 0.8695012 3.042555
[18,] 0.7543456 0.7304734 3.042555
[19,] 0.8354976 0.7837317 3.042555
[20,] 1.0690090 0.9367724 3.042555
[21,] 2.5407608 2.3289587 3.042555