shift: Fast lead/lag for vectors and lists

Description

lead or lag vectors, lists, data.frames or data.tables implemented in C for speed.

bit64::integer64 is also supported.

Usage

shift(x, n=1L, fill=NA, type=c("lag", "lead", "shift"), give.names=FALSE)

Value

A list containing the lead/lag of input x.

Arguments

x: A vector, list, data.frame or data.table.
n: integer vector denoting the offset by which to lead or lag the input. To create multiple lead/lag vectors, provide multiple values to n; negative values of n will "flip" the value of type, i.e., n=-1 and type='lead' is the same as n=1 and type='lag'.
fill: Value to use for padding when the window goes beyond the input length.
type: default is "lag" (look "backwards"). The other possible values "lead" (look "forwards") and "shift" (behave same as "lag" except given names).
give.names: default is FALSE which returns an unnamed list. When TRUE, names are automatically generated corresponding to type and n. If answer is an atomic vector, then the argument is ignored.

Details

shift accepts vectors, lists, data.frames or data.tables. It always returns a list except when the input is a vector and length(n) == 1 in which case a vector is returned, for convenience. This is so that it can be used conveniently within data.table's syntax. For example, DT[, (cols) := shift(.SD, 1L), by=id] would lag every column of .SD by 1 for each group and DT[, newcol := colA + shift(colB)] would assign the sum of two vectors to newcol.

Argument n allows multiple values. For example, DT[, (cols) := shift(.SD, 1:2), by=id] would lag every column of .SD by 1 and 2 for each group. If .SD contained four columns, the first two elements of the list would correspond to lag=1 and lag=2 for the first column of .SD, the next two for second column of .SD and so on. Please see examples for more.

shift is designed mainly for use in data.tables along with := or set. Therefore, it returns an unnamed list by default as assigning names for each group over and over can be quite time consuming with many groups. It may be useful to set names automatically in other cases, which can be done by setting give.names to TRUE.

Examples

Run this code

# on vectors, returns a vector as long as length(n) == 1, #1127
x = 1:5
# lag with n=1 and pad with NA (returns vector)
shift(x, n=1, fill=NA, type="lag")
# lag with n=1 and 2, and pad with 0 (returns list)
shift(x, n=1:2, fill=0, type="lag")
# getting a window by using positive and negative n:
shift(x, n = -1:1)
shift(x, n = -1:1, type = "shift", give.names = TRUE)

# on data.tables
DT = data.table(year=2010:2014, v1=runif(5), v2=1:5, v3=letters[1:5])
# lag columns 'v1,v2,v3' DT by 1 and fill with 0
cols = c("v1","v2","v3")
anscols = paste("lead", cols, sep="_")
DT[, (anscols) := shift(.SD, 1, 0, "lead"), .SDcols=cols]

# return a new data.table instead of updating
# with names automatically set
DT = data.table(year=2010:2014, v1=runif(5), v2=1:5, v3=letters[1:5])
DT[, shift(.SD, 1:2, NA, "lead", TRUE), .SDcols=2:4]

# lag/lead in the right order
DT = data.table(year=2010:2014, v1=runif(5), v2=1:5, v3=letters[1:5])
DT = DT[sample(nrow(DT))]
# add lag=1 for columns 'v1,v2,v3' in increasing order of 'year'
cols = c("v1","v2","v3")
anscols = paste("lag", cols, sep="_")
DT[order(year), (cols) := shift(.SD, 1, type="lag"), .SDcols=cols]
DT[order(year)]

# while grouping
DT = data.table(year=rep(2010:2011, each=3), v1=1:6)
DT[, c("lag1", "lag2") := shift(.SD, 1:2), by=year]

# on lists
ll = list(1:3, letters[4:1], runif(2))
shift(ll, 1, type="lead")
shift(ll, 1, type="lead", give.names=TRUE)
shift(ll, 1:2, type="lead")

# fill using first or last by group
DT = data.table(x=1:6, g=rep(1:2, each=3))
DT[ , shift(x, fill=x[1L]), by=g]
DT[ , shift(x, fill=x[.N], type="lead"), by=g]