collapse

collapse is a C/C++ based package for data manipulation in R. It's aims are

• to facilitate complex data transformation and exploration tasks in R
• to help make R code fast, flexible, parsimonious and programmer friendly

It is compatible with dplyr, data.table and the plm approach to panel-data.

Key Features:

• Advanced data programming: A full set of fast statistical functions supporting grouped and weighted computations on vectors, matrices and data frames. Fast (ordered) and programmable grouping, factor generation, manipulation of data frames and data object conversions.

• Advanced aggregation: Fast and easy multi-data-type, multi-function, weighted, parallelized and fully customized data aggregation.

• Advanced transformations: Fast (grouped, weighted) replacing and sweeping out of statistics, scaling / standardizing, centering (i.e. between and within transformations), higher-dimensional centering (i.e. multiple fixed effects transformations), linear prediction and partialling-out.

• Advanced time-computations: Fast (sequences of) lags / leads, and (lagged / leaded, iterated, quasi-, log-) differences and growth rates on (unordered) time-series and panel data. Multivariate auto, partial and cross-correlation functions for panel data. Panel data to (ts-)array conversions.

• List processing: (Recursive) list search / identification, extraction / subsetting, data-apply, and generalized row-binding / unlisting in 2D.

• Advanced data exploration: Fast (grouped, weighted, panel-decomposed) summary statistics for complex multilevel / panel data.

collapse is mainly coded in C++ and built with Rcpp, but also uses C functions from data.table, lfe and stats. Effort has been expended to minimize the execution speed of R code employed.

Installation

install.packages("collapse")

# install the development version
devtools::install_github("SebKrantz/collapse")

Package Documentation

collapse installs with a built-in hierarchically structured documentation, implemented via a set of separate help pages. The top-level documentation page provides a quick overview of the entire functionality of the package and links to all other documentation pages. It can be accessed from the R console by calling help('collapse-documentation').

In addition, collapse provides 3 vignettes:

• Introduction to collapse: Introduces all main features of the package in a structured way.

• collapse and dplyr: Demonstrates the integration of collapse with dplyr and the tidyverse.

• collapse and plm: Demonstrates the integration of collapse with the plm package and provides examples of fast and easy programming with panel data.

Contributing

If you want to contribute, please fork and create a pull request for merging with the development branch. Presently I am particularly interested in fast algorithms to compute weighted medians and (weighted) quantiles.

Notes on Performance

Some simple benchmarks are provided in the vignettes. In general:

• On simple aggregations of large data (~ 10 mio. obs) the performance is comparable to data.table (when using functions that data.table GeForce optimizes. The C/C++ programming principles applied and the grouping mechanisms of collapse are similar to data.table). On very large data (100 mio. obs +), data.table's thread parallelization will let it run faster on a multicore machine.

• For more complex categorical or weighed aggregations, and for nearly all transformations like grouped scaling, centering, panel-differences etc. collapse is ~10x faster than data.table.

• Due to its minimized R overhead and avoidance of non-standard evaluation, collapse is very efficient for programming. On smaller data a collapse implementation will execute within the microsecond domain, whereas packages like dplyr or data.table will typically evaluate in the millisecond domain (~10x slower).

• This performance extends to grouped and weighted computations on vectors and matrices (no internal conversions, vector and matrix methods are also written in C++).

Notes on the Integration with dplyr, plm and data.table

• collapse and dplyr: The Fast Statistical Functions and transformation functions and operators provided by collapse all have a grouped_df method, allowing them to be seamlessly integrated into dplyr / tidyverse workflows. Doing so facilitates advanced operations in dplyr and provides remarkable performance improvements (bringing dplyr close to data.table on large data aggregations, and making it faster than data.table for advanced transformations). See also this vignette.

• collapse and plm: Fast transformation functions and transformation operators provided by collapse also have pseries (panel-series) and pdata.frame (panel-data.frame) methods. This integrates them seamlessly into plm workflows and facilitates the manipulation of panel data. For typical panel-data operations like between- and within-transformations or panel lags / leads / differences, collapse functions are 20-100x faster than plm equivalents, and provide greater versatility (i.e. for applying transformations to multiple variables in a pdata.frame). See also this vignette.

• collapse and data.table: All collapse functions can be applied to data.table's and they will also return a data.table again. The C/C++ programming of collapse was inspired by data.table and directly relies on some data.table source code (i.e. for grouping and row-binding).