summarize_weighted_covar {sparklyr.flint}

Weighted covariance summarizer

Description

Compute unbiased weighted covariance between values from 'xcolumn' and 'ycolumn' within each time window or within each group of records with identical timestamps, using values from 'weight_column' as relative weights, and store results in a new column named '<xcolumn>_<ycolumn>_<weight_column>_weightedCovariance'

Usage

summarize_weighted_covar(
  ts_rdd,
  xcolumn,
  ycolumn,
  weight_column,
  window = NULL,
  key_columns = list()
)

Arguments

ts_rdd

Timeseries RDD being summarized

xcolumn

Column representing the first random variable

ycolumn

Column representing the second random variable

weight_column

Column specifying relative weight of each data point

window

Either an R expression specifying time windows to be summarized (e.g., 'in_past("1h")' to summarize data from looking behind 1 hour at each time point, 'in_future("5s")' to summarize data from looking forward 5 seconds at each time point), or 'NULL' to compute aggregate statistics on records grouped by timestamps

key_columns

Optional list of columns that will form an equivalence relation associating each record with the time series it belongs to (i.e., any 2 records having equal values in those columns will be associated with the same time series, and any 2 records having differing values in those columns are considered to be from 2 separate time series and will therefore be summarized separately) By default, 'key_colums' is empty and all records are considered to be part of a single time series.

Value

A TimeSeriesRDD containing the summarized result

See Also

Other summarizers: ols_regression(), summarize_avg(), summarize_corr2(), summarize_corr(), summarize_count(), summarize_covar(), summarize_dot_product(), summarize_ema_half_life(), summarize_ewma(), summarize_geometric_mean(), summarize_kurtosis(), summarize_max(), summarize_min(), summarize_nth_central_moment(), summarize_nth_moment(), summarize_product(), summarize_quantile(), summarize_skewness(), summarize_stddev(), summarize_sum(), summarize_var(), summarize_weighted_avg(), summarize_weighted_corr(), summarize_z_score()

Examples

library(sparklyr)
library(sparklyr.flint)

sc <- try_spark_connect(master = "local")

if (!is.null(sc)) {
  sdf <- copy_to(sc, tibble::tibble(t = seq(10), u = rnorm(10), v = rnorm(10), w = 1.1^seq(10)))
  ts <- fromSDF(sdf, is_sorted = TRUE, time_unit = "SECONDS", time_column = "t")
  ts_weighted_covar <- summarize_weighted_covar(
    ts,
    xcolumn = "u", ycolumn = "v", weight_column = "w", window = in_past("3s")
  )
} else {
  message("Unable to establish a Spark connection!")
}