R recipes step_window 移动窗口函数

step_window(
  recipe,
  ...,
  role = NA,
  trained = FALSE,
  size = 3,
  na_rm = TRUE,
  statistic = "mean",
  columns = NULL,
  names = NULL,
  keep_original_cols = TRUE,
  skip = FALSE,
  id = rand_id("window")
)

if (FALSE) { # rlang::is_installed(c("RcppML", "ggplot2"))
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)

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()
}