这是我的代码,我对groupby有问题:
library(dplyr)
library(lubridate)
df <- read.xlsx("Data.xlsx", sheet = "Sector-STOXX600", startRow = 2,colNames = TRUE, detectDates = TRUE, skipEmptyRows = FALSE)
df[2:19] <- data.matrix(df[2:19])
percent_change2 <- function(x)last(x)/first(x) - 1
monthly_return <- df %>%
group_by(gr = floor_date(Date, unit = "month")) %>%
summarize_at(vars(-Date, -gr), percent_change2) %>%
ungroup() %>%
select(-gr) %>%
as.matrix()
的确,我有一个错误:
" is_character中的错误(x):未找到对象'gr'"
这是数据集的示例:
Date .SXQR .SXTR .SXNR .SXMR .SXAR .SX3R .SX6R .SXFR .SXOR .SXDR .SX4R .SXRR .SXER
1 2000-01-03 364.94 223.93 489.04 586.38 306.56 246.81 385.36 403.82 283.78 455.39 427.43 498.08 457.57
2 2000-01-04 345.04 218.90 474.05 566.15 301.13 239.24 374.64 390.41 275.93 434.92 414.10 476.17 435.72
更新
volatility_function<- function(x)sqrt(252) * sd(diff(log(x))) * 100
annualized_volatility <- df %>%
mutate(Date=ymd(Date)) %>%
group_by(gr = floor_date(Date, unit = "year")) %>%
select(gr,everything()) %>%
summarize_at(vars(-Date, -gr), volatility_function) %>%
ungroup() %>% select(-gr) %>%
as.matrix()
head(annualized_volatility,5)
我尝试了@neslongon告诉我要做的事情,但是我知道在另一个功能上遇到相同的错误,该怎么办?
这个想法是,我们不需要summarise_at
分组的变量,而是使用Date
来考虑这一点。可以跳过select
和mutate
调用。他们是为了方便的。
df %>%
mutate(Date=ymd(Date)) %>%
group_by(gr = floor_date(Date, unit = "month")) %>%
select(gr,everything()) %>%
summarize_at(vars(-Date), percent_change2) %>%
ungroup() %>%
select(-gr) %>%
as.matrix()