Basic lag in R vector/dataframe

Solution 1:

I had the same problem, but I didn't want to use zoo or xts, so I wrote a simple lag function for data frames:

lagpad <- function(x, k) {
  if (k>0) {
    return (c(rep(NA, k), x)[1 : length(x)] );
  }
  else {
    return (c(x[(-k+1) : length(x)], rep(NA, -k)));
  }
}

This can lag forward or backwards:

x<-1:3;
(cbind(x, lagpad(x, 1), lagpad(x,-1)))
     x      
[1,] 1 NA  2
[2,] 2  1  3
[3,] 3  2 NA

Solution 2:

Another way to deal with this is using the zoo package, which has a lag method that will pad the result with NA:

require(zoo)
> set.seed(123)
> x <- zoo(sample(c(1:9), 10, replace = T))
> y <- lag(x, -1, na.pad = TRUE)
> cbind(x, y)
   x  y
1  3 NA
2  8  3
3  4  8
4  8  4
5  9  8
6  1  9
7  5  1
8  9  5
9  5  9
10 5  5

The result is a multivariate zoo object (which is an enhanced matrix), but easily converted to a data.frame via

> data.frame(cbind(x, y))

Solution 3:

lag does not shift the data, it only shifts the "time-base". x has no "time base", so cbind does not work as you expected. Try cbind(as.ts(x),lag(x)) and notice that a "lag" of 1 shifts the periods forward.

I would suggesting using zoo / xts for time series. The zoo vignettes are particularly helpful.

Solution 4:

Using just standard R functions this can be achieved in a much simpler way:

x <- sample(c(1:9), 10, replace = T)
y <- c(NA, head(x, -1))
ds <- cbind(x, y)
ds

Solution 5:

lag() works with time series, whereas you are trying to use bare matrices. This old question suggests using embed instead, like so:

lagmatrix <- function(x,max.lag) embed(c(rep(NA,max.lag), x), max.lag+1)

for instance

> x
[1] 8 2 3 9 8 5 6 8 5 8
> lagmatrix(x, 1)
      [,1] [,2]
 [1,]    8   NA
 [2,]    2    8
 [3,]    3    2
 [4,]    9    3
 [5,]    8    9
 [6,]    5    8
 [7,]    6    5
 [8,]    8    6
 [9,]    5    8
[10,]    8    5