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#' Moving Window Functions
#'
#' `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.
#'
#' @inheritParams step_center
#' @param ... 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.
#' @param 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.
#' @param size An odd integer `>= 3` for the window size.
#' @param na_rm A logical for whether missing values should be
#' removed from the calculations within each window.
#' @param 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'`
#' @param columns A character string that contains the names of
#' columns that should be processed. These values are not
#' determined until [prep.recipe()] is called.
#' @param 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.
#' @return 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`.
#' @keywords datagen
#' @concept preprocessing
#' @concept moving_windows
#' @export
#' @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])`.
#'
# This step requires the \pkg{RcppRoll} package. If not installed, the
#' step will stop with a note about installing the package.
#' @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()
step_window <-
function(recipe,
...,
role = NA,
trained = FALSE,
size = 3,
na_rm = TRUE,
statistic = "mean",
columns = NULL,
names = NULL,
skip = FALSE,
id = rand_id("window")) {
if (!(statistic %in% roll_funs) | length(statistic) != 1)
rlang::abort(
paste0(
"`statistic` should be one of: ",
paste0("'", roll_funs, "'", collapse = ", ")
)
)
## ensure size is odd, integer, and not too small
if (!is_tune(size) & !is_varying(size)) {
if (is.na(size) | is.null(size)) {
rlang::abort("`size` needs a value.")
}
if (!is.integer(size)) {
tmp <- size
size <- as.integer(size)
if (!isTRUE(all.equal(tmp, size)))
rlang::warn(
paste0(
"`size` was not an integer (",
tmp,
") and was ",
"converted to ",
size,
"."
)
)
}
if (size %% 2 == 0) {
rlang::abort("`size` should be odd.")
}
if (size < 3) {
rlang::abort("`size` should be at least 3.")
}
}
add_step(
recipe,
step_window_new(
terms = ellipse_check(...),
trained = trained,
role = role,
size = size,
na_rm = na_rm,
statistic = statistic,
columns = columns,
names = names,
skip = skip,
id = id
)
)
}
roll_funs <- c("mean", "median", "sd", "var", "sum", "prod", "min", "max")
step_window_new <-
function(terms, role, trained, size, na_rm, statistic, columns, names, skip, id) {
step(
subclass = "window",
terms = terms,
role = role,
trained = trained,
size = size,
na_rm = na_rm,
statistic = statistic,
columns = columns,
names = names,
skip = skip,
id = id
)
}
#' @export
prep.step_window <- function(x, training, info = NULL, ...) {
col_names <- eval_select_recipes(x$terms, training, info)
if (any(info$type[info$variable %in% col_names] != "numeric"))
rlang::abort("The selected variables should be numeric")
if (!is.null(x$names)) {
if (length(x$names) != length(col_names))
rlang::abort(
paste0("There were ", length(col_names), " term(s) selected but ",
length(x$names), " values for the new features ",
"were passed to `names`."
)
)
}
step_window_new(
terms = x$terms,
role = x$role,
trained = TRUE,
size = x$size,
na_rm = x$na_rm,
statistic = x$statistic,
columns = col_names,
names = x$names,
skip = x$skip,
id = x$id
)
}
roller <- function(x, stat = "mean", window = 3L, na_rm = TRUE) {
recipes_pkg_check(required_pkgs.step_window())
m <- length(x)
gap <- floor(window / 2)
if (m - window <= 2)
rlang::abort("The window is too large.")
## stats for centered window
opts <- list(
x = x, n = window, by = 1L,
fill = NA, partial = FALSE,
normalize = TRUE, na.rm = na_rm
)
roll_cl <- call2(paste0("roll_", stat), !!!opts, .ns = "RcppRoll")
x2 <- eval(roll_cl)
## Fill in the left-hand points. Add enough data so that the
## missing values at the start can be estimated and filled in
x2[1:gap] <- x2[gap + 1]
## Right-hand points
x2[(m - gap + 1):m] <- x2[m - gap]
x2
}
#' @export
bake.step_window <- function(object, new_data, ...) {
for (i in seq(along.with = object$columns)) {
if (!is.null(object$names)) {
new_data[, object$names[i]] <-
roller(x = getElement(new_data, object$columns[i]),
stat = object$statistic,
na_rm = object$na_rm,
window = object$size)
} else {
new_data[, object$columns[i]] <-
roller(x = getElement(new_data, object$columns[i]),
stat = object$statistic,
na_rm = object$na_rm,
window = object$size)
}
}
new_data
}
print.step_window <-
function(x, width = max(20, options()$width - 28), ...) {
cat("Moving ", x$size, "-point ", x$statistic, " on ", sep = "")
if (x$trained) {
cat(format_ch_vec(x$columns, width = width))
} else
cat(format_selectors(x$terms, width = width))
if (x$trained)
cat(" [trained]\n")
else
cat("\n")
invisible(x)
}
#' @rdname step_window
#' @param x A `step_window` object.
#' @export
tidy.step_window <- function(x, ...) {
out <- simple_terms(x, ...)
out$statistic <- x$statistic
out$size <- x$size
out$id <- x$id
out
}
#' @rdname tunable.step
#' @export
tunable.step_window <- function(x, ...) {
tibble::tibble(
name = c("statistic", "window"),
call_info = list(
list(pkg = "dials", fun = "summary_stat"),
list(pkg = "dials", fun = "window")
),
source = "recipe",
component = "step_window",
component_id = x$id
)
}
#' @rdname required_pkgs.step
#' @export
required_pkgs.step_window <- function(x, ...) {
c("RcppRoll")
}
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