Thank you, I will have a look at rollapply Dr. Iasonas Lamprianou Department of Social and Political Sciences University of Cyprus
>________________________________ > From: David Winsemius <dwinsem...@comcast.net> >To: Iasonas Lamprianou <lampria...@yahoo.com> >Cc: "r-help@r-project.org" <r-help@r-project.org> >Sent: Sunday, 8 January 2012, 19:16 >Subject: Re: [R] multivariate problem > > >On Jan 8, 2012, at 3:01 AM, Iasonas Lamprianou wrote: > >> Dear all, >> I am not sure if this is the right place to ask this question, but I will >> have a go. Please redirect me to a different place if this is not the right >> one! >> >> I have a (relatively) simple problem which causes me some frustration >> because I cannot find the solution. I measure ten variables (var1 to var10) >> every day, they are all continuous (linear) and most of them are correlated. >> Some days, for any reason, the relationship between these variables may >> change. They are still correlated, but their correlation may change slightly >> but practically this is important. Or, one of the variables may increase its >> value significantly suddenly and keep this high value for a few days and >> then come back to the normal level. I am using R. Is there any function I >> can use to help me identify these strange days when the relationship between >> these variables changes? For example, if DayX is such a strange day, factor >> analyzing the data before DayX and after DayX separately would give me >> different factors (princial components). But how can I identify such a daym >> without trial and error? > >The zoo package has `rollapply`. You would of course be required to be much >more specific in defining your problem than you have been so far. > >--David Winsemius, MD >Heritage Laboratories >West Hartford, CT > > > > [[alternative HTML version deleted]]
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