R: Moving Window Functions

step_window {recipes} | R Documentation

## Moving Window Functions

### Description

`step_window` creates a specification of a recipe step that will create new columns that are the results of functions that compute statistics across moving windows.

### Usage

    step_window(recipe, ..., role = NA, trained = FALSE, size = 3,
      na.rm = TRUE, statistic = "mean", columns = NULL, names = NULL,
      skip = FALSE)

    ## S3 method for class 'step_window'
    tidy(x, ...)

### Arguments

`recipe` | A recipe object. The step will be added to the sequence of operations for this recipe.
`...` | One or more selector functions to choose which variables are affected by the step. See `selections()` for more details. For the `tidy` method, these are not currently used.
`role` | For model terms created by this step, what analysis role should they be assigned? If `names` is left to be `NULL`, the rolling statistics replace the original columns and the roles are left unchanged. If `names` is set, those new columns will have a role of `NULL` unless this argument has a value.
`trained` | A logical to indicate if the quantities for preprocessing have been estimated.
`size` | An odd integer `>= 3` for the window size.
`na.rm` | A logical for whether missing values should be removed from the calculations within each window.
`statistic` | A character string for the type of statistic that should be calculated for each moving window. Possible values are: `'max'`, `'mean'`, `'median'`, `'min'`, `'prod'`, `'sd'`, `'sum'`, `'var'`
`columns` | A character string that contains the names of columns that should be processed. These values are not determined until `prep.recipe()` is called.
`names` | An optional character string that is the same length of the number of terms selected by `terms`. If you are not sure what columns will be selected, use the `summary` function (see the example below). These will be the names of the new columns created by the step.
`skip` | A logical. Should the step be skipped when the recipe is baked by `bake.recipe()`? While all operations are baked when `prep.recipe()` is run, some operations may not be able to be conducted on new data (e.g. processing the outcome variable(s)). Care should be taken when using `skip = TRUE` as it may affect the computations for subsequent operations
`x` | A `step_window` object.

### Details

The calculations use a somewhat atypical method for handling the beginning and end parts of the rolling statistics. The process starts with the center justified window calculations and the beginning and ending parts of the rolling values are determined using the first and last rolling values, respectively. For example if a column `x` with 12 values is smoothed with a 5-point moving median, the first three smoothed values are estimated by `median(x[1:5])` and the fourth uses `median(x[2:6])`.

### Value

An updated version of `recipe` with the new step added to the sequence of existing steps (if any). For the `tidy` method, a tibble with columns `terms` (the selectors or variables selected) and `statistic` (the summary function name), and `size`.

### Examples

    library(recipes)
    library(dplyr)
    library(rlang)
    library(ggplot2, quietly = TRUE)

    set.seed(5522)
    sim_dat <- data.frame(x1 = (20:100) / 10)
    n <- nrow(sim_dat)
    sim_dat$y1 <- sin(sim_dat$x1) + rnorm(n, sd = 0.1)
    sim_dat$y2 <- cos(sim_dat$x1) + rnorm(n, sd = 0.1)
    sim_dat$x2 <- runif(n)
    sim_dat$x3 <- rnorm(n)

    rec <- recipe(y1 + y2 ~ x1 + x2 + x3, data = sim_dat) %>%
      step_window(starts_with("y"), size = 7, statistic = "median",
                  names = paste0("med_7pt_", 1:2),
                  role = "outcome") %>%
      step_window(starts_with("y"),
                  names = paste0("mean_3pt_", 1:2),
                  role = "outcome")
    rec <- prep(rec, training = sim_dat)

    # If you aren't sure how to set the names, see which variables are selected
    # and the order that they are selected:
    terms_select(info = summary(rec), terms = quos(starts_with("y")))

    smoothed_dat <- bake(rec, sim_dat, everything())

    ggplot(data = sim_dat, aes(x = x1, y = y1)) +
      geom_point() +
      geom_line(data = smoothed_dat, aes(y = med_7pt_1)) +
      geom_line(data = smoothed_dat, aes(y = mean_3pt_1), col = "red") +
      theme_bw()

    tidy(rec, number = 1)
    tidy(rec, number = 2)

    # If you want to replace the selected variables with the rolling statistic
    # don't set `names`
    sim_dat$original <- sim_dat$y1
    rec <- recipe(y1 + y2 + original ~ x1 + x2 + x3, data = sim_dat) %>%
      step_window(starts_with("y"))
    rec <- prep(rec, training = sim_dat)
    smoothed_dat <- bake(rec, sim_dat, everything())
    ggplot(smoothed_dat, aes(x = original, y = y1)) +
      geom_point() +
      theme_bw()

[Package recipes version 0.1.2 Index]