我需要将我所有的月度回报数据转换为季度回报。但这必须以特定的方式完成。我将问题设置如下：
mat1 <- matrix(nrow = 2,
ncol = (37 + 37),
data = rnorm(74, 0, 1))
seperate.mat <- c()
seq1 <- seq (37, 74, 37)
for (i in seq1) {
seperate.mat[[which(i == seq1)]] = mat1[, (i - 36):i]
}
seperate.mat[[1]]
seperate.mat[[2]]
对于seperate.mat [[i]]中的每一行，我需要将每月回报数据转换为季度数据。
> mat1
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11] [,12] [,13] [,14]
[1,] 0.4342922 -1.4269698 0.488264775 -0.5366129 0.04941425 -0.2497828 -1.439336 -3.3251713 1.10019063 0.18061550 0.5497727 0.1029185 -1.1238067 0.7291232
[2,] -1.0269178 -0.2531924 0.001663337 -0.6085732 -1.59923701 -0.2183555 1.663534 -0.1202581 -0.03978411 -0.09819961 0.4751221 1.0787960 0.2576227 0.4813277
> seperate.mat[[1]]
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11] [,12] [,13] [,14]
[1,] 0.4342922 -1.4269698 0.488264775 -0.5366129 0.04941425 -0.2497828 -1.439336 -3.3251713 1.10019063 0.18061550 0.5497727 0.1029185 -1.1238067 0.7291232
[2,] -1.0269178 -0.2531924 0.001663337 -0.6085732 -1.59923701 -0.2183555 1.663534 -0.1202581 -0.03978411 -0.09819961 0.4751221 1.0787960 0.2576227 0.4813277
然后新输出的第1行中的第一个条目。矩阵将是（1 + 0.43）（1-1.43）（1 + 0.49）-1。第二个条目是（1-1.43）（1_0.49）（1-0.54）-1 ..依此类推。
我想将此过程应用于列表seperate.mat中的所有矩阵
答案 0 :(得分：0)
您的数据不可复制，因为您缺少set.seed。但是您可以使用来自Zoo的rollapply遍历结合了apply语句的行。如果我将所有这些都放到函数中，则可以使用lapply调用此函数，并一次性运行所有矩阵。
set.seed(1234) # for reproducibility
mat1 <- matrix(nrow = 2, ncol = (37 + 37), data = rnorm(74, 0, 1))
seperate.mat <- c()
seq1 <- seq (37, 74, 37)
for (i in seq1) {
seperate.mat[[which(i == seq1)]] = mat1[, (i-36):i]
}
# create period 3 function.
my_period_function <- function(x) {
t(apply(x, 1, function(x) {
zoo::rollapply(x, width = 3, function(x) {
(1+x[1]) * (1+x[2]) * (1+x[3]) - 1
},
align = "right",
fill = NA)
}
)
)
}
lapply(seperate.mat, my_period_function)
[[1]]
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11] [,12] [,13]
[1,] NA NA -1.616834 0.2668183 -0.7352959 -0.9031650 -0.9490513 -0.7707860 -0.7856123 -0.8439821 -0.9097022 -0.8966906 -0.8056753
[2,] NA NA -3.588961 -1.9188394 -0.9249181 -0.9999196 -0.9998111 -0.9984719 -0.9158963 -0.7301124 -0.8455037 1.5392960 -1.3331908
[,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] -0.7301674 -0.5249856 2.260488 -0.3984036 -1.384278 -0.7843013 -0.4761154 -3.0398455 -0.7499798 -0.9979948 -1.000088 -1.000289
[2,] -0.9845245 -0.9993209 -1.000795 -0.9832478 -1.043840 -0.9714934 -0.9694723 -0.9874984 -1.0263740 -1.0015548 -1.005707 -1.003992
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] -0.9588103 -0.9582071 -0.9264772 -1.241523 4.780042 10.430416 3.166862 0.5868448 -1.132772 -1.320440 -1.3251214 0.4858955
[2,] -1.0529872 -1.0031462 -1.0097738 -1.005300 -1.055905 -1.126936 -1.185025 2.2560412 1.172376 7.788185 0.7231891 0.1995426
[[2]]
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11] [,12] [,13]
[1,] NA NA -1.616834 0.2668183 -0.7352959 -0.9031650 -0.9490513 -0.7707860 -0.7856123 -0.8439821 -0.9097022 -0.8966906 -0.8056753
[2,] NA NA -3.588961 -1.9188394 -0.9249181 -0.9999196 -0.9998111 -0.9984719 -0.9158963 -0.7301124 -0.8455037 1.5392960 -1.3331908
[,14] [,15] [,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25]
[1,] -0.7301674 -0.5249856 2.260488 -0.3984036 -1.384278 -0.7843013 -0.4761154 -3.0398455 -0.7499798 -0.9979948 -1.000088 -1.000289
[2,] -0.9845245 -0.9993209 -1.000795 -0.9832478 -1.043840 -0.9714934 -0.9694723 -0.9874984 -1.0263740 -1.0015548 -1.005707 -1.003992
[,26] [,27] [,28] [,29] [,30] [,31] [,32] [,33] [,34] [,35] [,36] [,37]
[1,] -0.9588103 -0.9582071 -0.9264772 -1.241523 4.780042 10.430416 3.166862 0.5868448 -1.132772 -1.320440 -1.3251214 0.4858955
[2,] -1.0529872 -1.0031462 -1.0097738 -1.005300 -1.055905 -1.126936 -1.185025 2.2560412 1.172376 7.788185 0.7231891 0.1995426