R 如何在data.table中运行滚动回归并将系数存储在列中？

计算滚动平均值很容易：

library(data.table)
library(zoo)
DT <- data.table(Y = rnorm(1000), X = rnorm(1000), 
       key.group = rep(c('a', 'b', 'c', 'd'), each = 250))
DT[, Average.Y := rollapply(Y, width = 12, mean)] 

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可能重复：按组快速线性回归可能重复：按组快速线性回归

DT[, coefficient := rollapply(.SD, 20, function(x) { 
          the.coefficient <- lm(Y ~ X, data = x)$coefficients[2];
          return(the.coefficient)}), by = key.group]