Hello,
Is there a less verbose approach to obtaining the PC_i variables inside the
mutate?
library(tidyverse)
sim_data <- data.frame(borrower_id = sort(rep(1:10, 20)),
quarter = rep(1:20, 10),
pd = runif(length(rep(1:20, 10)))) # conditional probs
sim_data_wide <- tidyr::spread(sim_data, quarter, pd)
colnames(sim_data_wide)[-1] <- paste0("P_",
colnames(sim_data_wide)[-1])
# Compute cumulative probs
sim_data_wide <- sim_data_wide %>%
mutate(PC_1 = P_1,
PC_2 = 1-(1-P_1)*(1-P_2),
PC_3 = 1-(1-P_1)*(1-P_2)*(1-P_3),
PC_4 = 1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4),
PC_5 = 1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5),
PC_6 =
1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6),
PC_7 =
1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7),
PC_8 =
1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7)*(1-P_8),
PC_9 =
1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7)*(1-P_8)*(1-P_9),
PC_10 =
1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7)*(1-P_8)*(1-P_9)*(1-P_10)
)
Thanks,
Axel.
[[alternative HTML version deleted]]
Does this help?
sim_wide2 <- (
sim_data
%>% arrange( borrower_id, quarter )
%>% group_by( borrower_id )
%>% mutate( cumpd = 1 - cumprod( 1 - pd ) )
%>% ungroup()
%>% mutate( qlbl = paste0( "PC_", quarter ) )
%>% select( borrower_id, qlbl, cumpd )
%>% spread( qlbl, cumpd )
)
On May 9, 2020 4:45:40 PM PDT, Axel Urbiz <axel.urbiz at gmail.com>
wrote:>Hello,
>
>Is there a less verbose approach to obtaining the PC_i variables inside
>the mutate?
>
>library(tidyverse)
>sim_data <- data.frame(borrower_id = sort(rep(1:10, 20)),
> quarter = rep(1:20, 10),
> pd = runif(length(rep(1:20, 10)))) # conditional probs
>
>sim_data_wide <- tidyr::spread(sim_data, quarter, pd)
>colnames(sim_data_wide)[-1] <- paste0("P_",
>colnames(sim_data_wide)[-1])
>
># Compute cumulative probs
>sim_data_wide <- sim_data_wide %>%
> mutate(PC_1 = P_1,
> PC_2 = 1-(1-P_1)*(1-P_2),
> PC_3 = 1-(1-P_1)*(1-P_2)*(1-P_3),
> PC_4 = 1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4),
> PC_5 = 1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5),
> PC_6 = 1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6),
> PC_7 = 1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7),
>PC_8 >1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7)*(1-P_8),
>PC_9
>1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7)*(1-P_8)*(1-P_9),
>PC_10
>1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7)*(1-P_8)*(1-P_9)*(1-P_10)
> )
>
>
>Thanks,
>Axel.
> [[alternative HTML version deleted]]
>
>______________________________________________
>R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
>https://stat.ethz.ch/mailman/listinfo/r-help
>PLEASE do read the posting guide
>http://www.R-project.org/posting-guide.html
>and provide commented, minimal, self-contained, reproducible code.
--
Sent from my phone. Please excuse my brevity.
## I start with sim_data_wide
sim_data_wide <- tidyr::spread(sim_data, quarter, pd)
## and calculate wide
wide1 <- with(sim_data_wide, cbind(PC_1 = P_1,
PC_2 = 1-(1-P_1)*(1-P_2),
PC_3 = 1-(1-P_1)*(1-P_2)*(1-P_3),
PC_4 = 1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4),
PC_5 = 1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5),
PC_6 1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6),
PC_7
1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7),
PC_8
1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7)*(1-P_8),
PC_9
1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7)*(1-P_8)*(1-P_9),
PC_10
1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7)*(1-P_8)*(1-P_9)*(1-P_10)
)
)
## this simpler sequence gets the same value
A <- 1-sim_data_wide[,2:11]
B <- t(apply(A, 1, cumprod)[-1,])
wide2 <- cbind(sim_data_wide[,2], 1-B)
dimnames(wide2)[[2]] <- paste0("PC_", 1:10)
all.equal(wide1, wide2)
On Sat, May 9, 2020 at 9:28 PM Jeff Newmiller <jdnewmil at
dcn.davis.ca.us>
wrote:
> Does this help?
>
> sim_wide2 <- (
> sim_data
> %>% arrange( borrower_id, quarter )
> %>% group_by( borrower_id )
> %>% mutate( cumpd = 1 - cumprod( 1 - pd ) )
> %>% ungroup()
> %>% mutate( qlbl = paste0( "PC_", quarter ) )
> %>% select( borrower_id, qlbl, cumpd )
> %>% spread( qlbl, cumpd )
> )
>
> On May 9, 2020 4:45:40 PM PDT, Axel Urbiz <axel.urbiz at gmail.com>
wrote:
> >Hello,
> >
> >Is there a less verbose approach to obtaining the PC_i variables inside
> >the mutate?
> >
> >library(tidyverse)
> >sim_data <- data.frame(borrower_id = sort(rep(1:10, 20)),
> > quarter = rep(1:20, 10),
> > pd = runif(length(rep(1:20, 10)))) # conditional probs
> >
> >sim_data_wide <- tidyr::spread(sim_data, quarter, pd)
> >colnames(sim_data_wide)[-1] <- paste0("P_",
> >colnames(sim_data_wide)[-1])
> >
> ># Compute cumulative probs
> >sim_data_wide <- sim_data_wide %>%
> > mutate(PC_1 = P_1,
> > PC_2 = 1-(1-P_1)*(1-P_2),
> > PC_3 = 1-(1-P_1)*(1-P_2)*(1-P_3),
> > PC_4 = 1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4),
> > PC_5 = 1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5),
> > PC_6 = 1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6),
> > PC_7 = 1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7),
> >PC_8 >
>1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7)*(1-P_8),
> >PC_9 >
>1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7)*(1-P_8)*(1-P_9),
> >PC_10 >
>
>1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7)*(1-P_8)*(1-P_9)*(1-P_10)
> > )
> >
> >
> >Thanks,
> >Axel.
> > [[alternative HTML version deleted]]
> >
> >______________________________________________
> >R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> >https://stat.ethz.ch/mailman/listinfo/r-help
> >PLEASE do read the posting guide
> >http://www.R-project.org/posting-guide.html
> >and provide commented, minimal, self-contained, reproducible code.
>
> --
> Sent from my phone. Please excuse my brevity.
>
> ______________________________________________
> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
[[alternative HTML version deleted]]