1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
|
package dstream
// TODO make type generic
import (
"fmt"
)
type lagChunk struct {
xform
SourceData Dstream
// Lags maps variable names to the number of lags to include
// for the variable. Variables not included in the map are
// retained with no lags.
Lags map[string]int
namespos map[string]int
nobs int // total sample size
nobsKnown bool // indicates whether the sample size is available
maxlag int // maximum of all requested lags
doneInit bool // init has run
}
// LagChunk returns a new Dstream in which specified variables are
// included with lagged values. Lagged values are only computed
// within a chunk, not across chunk boundaries, and the first m values
// of each chunk are omitted, where m is the maximum lag value.
func LagChunk(data Dstream, lags map[string]int) Dstream {
lc := &lagChunk{
SourceData: data,
Lags: lags,
}
lc.init()
return lc
}
func (lc *lagChunk) init() {
maxlag := 0
for _, v := range lc.Lags {
if v > maxlag {
maxlag = v
}
}
lc.maxlag = maxlag
// Create the names of the new variables
var names []string
for _, a := range lc.SourceData.Names() {
if lc.Lags[a] == 0 {
names = append(names, a)
} else {
for j := 0; j <= lc.Lags[a]; j++ {
b := fmt.Sprintf("%s[%d]", a, -j)
names = append(names, b)
}
}
}
lc.names = names
lc.namespos = make(map[string]int)
for pos, na := range lc.names {
lc.namespos[na] = pos
}
lc.doneInit = true
}
func (lc *lagChunk) NumObs() int {
if lc.nobsKnown {
return lc.nobs
}
return -1
}
func (lc *lagChunk) Reset() {
lc.SourceData.Reset()
lc.doneInit = false
}
func (lc *lagChunk) Next() bool {
if !lc.doneInit {
lc.init()
}
if !lc.SourceData.Next() {
lc.nobsKnown = true
return false
}
if lc.bdata == nil {
lc.bdata = make([]interface{}, len(lc.names))
}
// Loop over the original data columns
jj := 0
maxlag := lc.maxlag
for j, oname := range lc.SourceData.Names() {
v := lc.SourceData.GetPos(j)
if ilen(v) <= maxlag {
// Segment is too short to use
continue
}
q := lc.Lags[oname]
switch v := v.(type) {
case []float64:
n := len(v)
lc.nobs += n - maxlag
for k := 0; k <= q; k++ {
lc.bdata[jj] = v[(maxlag - k):(n - k)]
jj++
}
case []string:
n := len(v)
lc.nobs += n - maxlag
for k := 0; k <= q; k++ {
lc.bdata[jj] = v[(maxlag - k):(n - k)]
jj++
}
default:
panic("unknown data type")
}
}
return true
}
|
