[R] RQuantLib: SET_VECTOR_ELT() can only be applied to a 'list', not a 'symbol'
# Hi all, # trying to run the following example code # from 'RQuantLib' package... HullWhite - list(term = 0.055, alpha = 0.03, sigma = 0.01, gridIntervals = 40) Price - rep(as.double(100),24) Type - rep(as.character(C), 24) Date - seq(as.Date(2006-09-15), by = '3 months', length = 24) callSch - data.frame(Price, Type, Date) callSch$Type - as.character(callSch$Type) bondparams - list(faceAmount=100, issueDate = as.Date(2004-09-16), maturityDate=as.Date(2012-09-16), redemption=100, callSch = callSch) dateparams - list(settlementDays=3, calendar=us, dayCounter = ActualActual, period=Quarterly, businessDayConvention = Unadjusted, terminationDateConvention= Unadjusted) coupon - c(0.0465) CallableBond(bondparams, HullWhite, coupon, dateparams) # ...I get the following error: # --- SET_VECTOR_ELT() can only be applied to a 'list', not a 'symbol' --- # Wandering through Internet, I found something similar to my # issue which has been solved by updating packages. # I tried the same but no results :( # Two weeks ago the same code worked properly. # Any idea about what changed in the meantime? # Thanks :) -- View this message in context: http://r.789695.n4.nabble.com/RQuantLib-SET-VECTOR-ELT-can-only-be-applied-to-a-list-not-a-symbol-tp4639542.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
Re: [R] RQuantLib: SET_VECTOR_ELT() can only be applied to a 'list', not a 'symbol'
Cren wrote # trying to run the following example code # from 'RQuantLib' package... # Obviously, run require(RQuantLib) # before executing the example :) -- View this message in context: http://r.789695.n4.nabble.com/RQuantLib-SET-VECTOR-ELT-can-only-be-applied-to-a-list-not-a-symbol-tp4639542p4639544.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
Re: [R] RQuantLib: SET_VECTOR_ELT() can only be applied to a 'list', not a 'symbol'
Enrico Schumann-2 wrote I cannot reproduce this error. I get... sessionInfo() *R version 2.15.1* (2012-06-22) # Thank you for testing, Enrico (Italian? ), # it seems an updating issue. # I am trying to update everything possible to the latest # version because of compatibility. -- View this message in context: http://r.789695.n4.nabble.com/RQuantLib-SET-VECTOR-ELT-can-only-be-applied-to-a-list-not-a-symbol-tp4639542p4639564.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
Re: [R] The best solver for non-smooth functions?
Roger Koenker-3 wrote
There are obviously a large variety of non-smooth problems;
for CVAR problems, if by this you mean conditional value at
risk portfolio problems, you can use modern interior point
linear programming methods. Further details are here:
http://www.econ.uiuc.edu/~roger/research/risk/risk.html
Roger Koenker
rkoenker@
# Hi, Roger.
# Unfortunately that C does not stand for
# Conditional but Credit... which means that
# risk measure is obtained via Monte Carlo
# simulated scenarios in order to quantify the
# credit loss according to empirical transition
# matrix. Then I am afraid of every solver finding
# local maxima (or minima) because of some
# jump in Credit VaR surface function of
# portfolio weights :(
On Jul 18, 2012, at 3:09 PM, Cren wrote:
# Whoops! I have just seen there's a little mistake
# in the 'sharpe' function, because I had to use
# 'w' array instead of 'ead' in the cm.CVaR function!
# This does not change the main features of my,
# but you should be aware of it
---
# The function to be minimized
sharpe - function(w) {
- (t(w) %*% y) / cm.CVaR(M, lgd, ead, N, n, r, rho, alpha, rating)
}
# This becomes...
sharpe - function(w) {
- (t(w) %*% y) / cm.CVaR(M, lgd, w, N, n, r, rho, alpha, rating)
}
# ...substituting 'ead' with 'w'.
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Re: [R] The best solver for non-smooth functions?
Hans W Borchers wrote
The most robust solver for non-smooth functions I know of in R is
Nelder-Mead
in the 'dfoptim' package (that also allows for box constraints).
First throw out the equality constraint by using c(w1, w1, 1-w1-w2) as
input.
This will enlarge the domain a bit, but comes out allright in the end.
sharpe2 - function(w) {
w - c(w[1], w[2], 1-w[1]-w[2])
- (t(w) %*% y) / cm.CVaR(M, lgd, w, N, n, r, rho, alpha, rating)
}
nmkb(c(1/3,1/3), sharpe2, lower=c(0,0), upper=c(1,1))
## $par
## [1] 0.1425304 0.1425646
## $value
## [1] -0.03093439
This is still in the domain of definition, and is about the same optimum
that
solnp() finds.
There are some more solvers, especially aimed at non-smooth functions, in
the
making. For low-dimensional problems like this Nelder-Mead is a reasonable
choice.
# Thank you, I'll try it :)
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Re: [R] The best solver for non-smooth functions?
Roger Koenker-3 wrote There are obviously a large variety of non-smooth problems; for CVAR problems, if by this you mean conditional value at risk portfolio problems, you can use modern interior point linear programming methods. Further details are here: http://www.econ.uiuc.edu/~roger/research/risk/risk.html Roger Koenker rkoenker@ # Hi, Roger. # Unfortunately that C does not stand for # Conditional but Credit... which means that # risk measure is obtained via Monte Carlo # simulated scenarios in order to quantify the # credit loss according to empirical transition # matrix. Then I am afraid of every solver finding # local maxima (or minima) because of some # jump in Credit VaR surface function of # portfolio weights :( -- View this message in context: http://r.789695.n4.nabble.com/The-best-solver-for-non-smooth-functions-tp4636934p4637002.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
[R] The best solver for non-smooth functions?
# Hi all,
# consider the following code (please, run it:
# it's fully working and requires just few minutes
# to finish):
require(CreditMetrics)
require(clusterGeneration)
install.packages(Rdonlp2, repos= c(http://R-Forge.R-project.org;,
getOption(repos)))
install.packages(Rsolnp2, repos= c(http://R-Forge.R-project.org;,
getOption(repos)))
require(Rdonlp2)
require(Rsolnp)
require(Rsolnp2)
N - 3
n - 10
r - 0.0025
ead - rep(1/3,3)
rc - c(AAA, AA, A, BBB, BB, B, CCC, D)
lgd - 0.99
rating - c(BB, BB, BBB)
firmnames - c(firm 1, firm 2, firm 3)
alpha - 0.99
# One year empirical migration matrix from Standard Poor's website
rc - c(AAA, AA, A, BBB, BB, B, CCC, D)
M - matrix(c(90.81, 8.33, 0.68, 0.06, 0.08, 0.02, 0.01, 0.01,
0.70, 90.65, 7.79, 0.64, 0.06, 0.13, 0.02, 0.01,
0.09, 2.27, 91.05, 5.52, 0.74, 0.26, 0.01, 0.06,
0.02, 0.33, 5.95, 85.93, 5.30, 1.17, 1.12, 0.18,
0.03, 0.14, 0.67, 7.73, 80.53, 8.84, 1.00, 1.06,
0.01, 0.11, 0.24, 0.43, 6.48, 83.46, 4.07, 5.20,
0.21, 0, 0.22, 1.30, 2.38, 11.24, 64.86, 19.79,
0, 0, 0, 0, 0, 0, 0, 100
)/100, 8, 8, dimnames = list(rc, rc), byrow = TRUE)
# Correlation matrix
rho - rcorrmatrix(N) ; dimnames(rho) = list(firmnames, firmnames)
# Credit Value at Risk
cm.CVaR(M, lgd, ead, N, n, r, rho, alpha, rating)
# Risk neutral yield rates
Y - cm.cs(M, lgd)
y - c(Y[match(rating[1],rc)], Y[match(rating[2],rc)],
Y[match(rating[3],rc)]) ; y
# The function to be minimized
sharpe - function(w) {
- (t(w) %*% y) / cm.CVaR(M, lgd, ead, N, n, r, rho, alpha, rating)
}
# The linear constraints
constr - function(w) {
sum(w)
}
# Results' matrix (it's empty by now)
Results - matrix(NA, nrow = 3, ncol = 4)
rownames(Results) - list('donlp2', 'solnp', 'solnp2')
colnames(Results) - list('w_1', 'w_2', 'w_3', 'Sharpe')
# See the differences between different solvers
rho
Results[1,1:3] - round(donlp2(fn = sharpe, par = rep(1/N,N), par.lower =
rep(0,N), par.upper = rep(1,N), A = t(rep(1,N)), lin.lower = 1, lin.upper =
1)$par, 2)
Results[2,1:3] - round(solnp(pars = rep(1/N,N), fun = sharpe, eqfun =
constr, eqB = 1, LB = rep(0,N), UB = rep(1,N))$pars, 2)
Results[3,1:3] - round(solnp2(par = rep(1/N,N), fun = sharpe, eqfun =
constr, eqB = 1, LB = rep(0,N), UB = rep(1,N))$pars, 2)
for(i in 1:3) {
Results[i,4] - abs(sharpe(Results[i,1:3]))
}
Results
# In fact the sharpe function I previously defined
# is not smooth because of the cm.CVaR function.
# If you change correlation matrix, ratings or yields
# you see how different solvers produce different
# parameters estimation.
# Then the main issue is: how may I know which is the
# best solver at all to deal with non-smooth functions
# such as this one?
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Re: [R] The best solver for non-smooth functions?
# Whoops! I have just seen there's a little mistake
# in the 'sharpe' function, because I had to use
# 'w' array instead of 'ead' in the cm.CVaR function!
# This does not change the main features of my,
# but you should be aware of it
---
# The function to be minimized
sharpe - function(w) {
- (t(w) %*% y) / cm.CVaR(M, lgd, ead, N, n, r, rho, alpha, rating)
}
# This becomes...
sharpe - function(w) {
- (t(w) %*% y) / cm.CVaR(M, lgd, w, N, n, r, rho, alpha, rating)
}
# ...substituting 'ead' with 'w'.
--
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Re: [R] Getting objects from quantmod ticker list
# Thank you, Michael: it works fine! -- View this message in context: http://r.789695.n4.nabble.com/Getting-objects-from-quantmod-ticker-list-tp4635708p4636440.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
[R] Multivariate apply.rolling()
# I've read that rollapply, and its wrapper apply.rolling()
# from PerformanceAnalytics package, do not work with multivariate
# time series neither their output can be a multivariate time series.
# Then I was wondering if any other function like those exists, or
# if I need to write my own function to perform multivariate
# time serie rolling analysis.
# Something like this:
# Let 'X' be your multivariate time series:
# output - matrix(NA, ncol = ncol(X), nrow = nrow(X))
# width - 199
# for(i in 1:(nrow(output) - width) {
# data - X[i:(i + width),]
# output[i,] - function(data)
#}
# rownames(output) - rownames(as.timeSeries(X))
# ...and this should be a (probably not efficient) way to do it.
# Any better idea?
# Thanks,
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Re: [R] Getting objects from quantmod ticker list
# One more question, Joshua: let instead of merging tickers
# I would like to put prices from an OHLC object
# in weekly format, then selecting just the close prices.
# What would be a code to do it?
# I guess:
data = new.env()
ticker.list - c('SPY', 'TLT', 'GLD')
getSymbols(ticker.list, env = data)
X - do.call(to.weekly, list(data))
# or something like this, but it doesn't work.
# What could I do?
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[R] Getting objects from quantmod ticker list
Hi all,
I would need to put datas downloaded with quantmod into a matrix or a data
frame.
Suppose to start from here:
*require(quantmod)
ticker.list - c('AAA', 'ALTSALES','AMBNS','AMBSL','BAA',
'EMRATIO',
'FEDFUNDS', 'GASPRICE', 'GS1', 'GS10', 'GS20', 'LNS1410', 'MORTG',
'NAPM', 'NPPTTL', 'OILPRICE', 'PAYEMS', 'TB3MS',
'UNRATE')
series - getSymbols(ticker.list, src= 'FRED')*
May you tell me how could I put each time series into a matrix or a data
frame keeping the dates' alignment?
Thank you
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Re: [R] Getting objects from quantmod ticker list
Joshua Ulrich wrote Load the data into an environment, then merge them using do.call(): series.env - new.env() getSymbols(ticker.list, src='FRED', env=series.env) series - do.call(merge, as.list(series.env)) Thank you very much, Joshua: this works very well! Thank you :) -- View this message in context: http://r.789695.n4.nabble.com/Getting-objects-from-quantmod-ticker-list-tp4635708p4635721.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
Re: [R] Simultaneous equations
Hi all,
I was wondering why I get errors trying to solve this:
*simeq - function(x) {
f - numeric(length(x))
f[1] - x[1] * dnorm((log(x[1]/D) + (r + x[2]^2/2) * T)/(x[2] * sqrt(T)))
- D * exp(-r * T) * dnorm((log(x[1]/D) + (r + x[2]^2/2) * T)/(x[2] *
sqrt(T)) - x[2] * sqrt(T))
f[2] - dnorm((log(x[1]/D) + (r + x[2]^2/2) * T)/(x[2] * sqrt(T))) * x[2]
* x[1]
}
x.start - c(100,0.2)
nleqslv(x.start, simeq)*
or, alternatively, this
*simeq - function(V_0, sigma_v) {
f - numeric(2)
f[1] - V_0 * dnorm((log(V_0/D) + (r + sigma_v^2/2) * T)/(sigma_v *
sqrt(T))) - D * exp(-r * T) * dnorm((log(V_0/D) + (r + sigma_v^2/2) *
T)/(sigma_v * sqrt(T)) - sigma_v * sqrt(T))
f[2] - dnorm((log(V_0/D) + (r + sigma_v^2/2) * T)/(sigma_v * sqrt(T))) *
sigma_v * V_0
}
x.start - c(100,0.2)
nleqslv(x.start, simeq)*
It says the length of function results is different from that of *x* or
that '*sigma_v*' is missing... what does this mean? I thought I did not need
to initialize *sigma_v*'s value 'cause this is a function's variable...
Thank you
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[R] Subtracting test string from vectors
Hi all, let I have two text string: *one - c(ciao,zio,caio,bello) two - c(caio,zio)* I would like to obtain a new text string which is* one - two* like this one: [1] ciao bello because caio and zio elements have been subtracted from *one*. What's the most efficient way to obtain this? Thank you, -- View this message in context: http://r.789695.n4.nabble.com/Subtracting-test-string-from-vectors-tp4632049.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
Re: [R] Subtracting test string from vectors
Rui Barradas wrote Hello, ?setdiff setdiff(one, two) Thank you for your help, Rui. But * setdiff(one,two) [1] ciao* Where's bello? -- View this message in context: http://r.789695.n4.nabble.com/Subtracting-test-string-from-vectors-tp4632049p4632053.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
Re: [R] How to sum and group data by DATE in data frame
Thank you, Michael :) Michael Weylandt wrote If that doesn't nail it down, I'll need you to answer the questions I asked in my previous email. Previously I made a mistake with *dput()*, this is the correct output: dput(X) new(timeSeries , .Data = structure(c(124.3, 124.38, 124.67, 125.19, 124.9, 125.27, 125.5, 125.58, 125.91, 125.8, 125.83, 126.215, 126.25, 126.25, 124.901, 124.43, 124.4654, 124.46, 124.68, 124.86, 124.73, 125.22, 125.48, 125.5601, 125.4091, 125.15, 125.43, 125.481, 125.91, 125.29, 124.79, 124.77, 124.7, 124.37, 124.56, 124.86, 125.3, 125.59, 125.95, 125.73, 126.27, 126.26, 127.33, 126.37, 126.46, 126, 126.06, 126.2662, 126.23, 126.4499, 127.12, 127.48, 127.49, 127.69, 127.88, 127.88, 124.51, 124.42, 124.92, 125.18, 125.23, 124.81, 125.07, 124.61, 123.8869, 123.24, 123.3329, 123.6, 123.19, 123.161, 123.96, 123.58, 123.42, 123.68, 124.19, 123.985, 124.24, 124.61, 124.6566, 124.18, 123.795, 124.36, 124.32, 124.32, 126.1101, 126.42, 126.8181, 126.79, 126.675, 126.68, 126.685, 126.725, 126.65, 126.77, 126.55, 126.63, 126.67, 126.66, 125.8829, 126.05, 125.97, 125.99, 125.59, 125.21, 125.31, 125.46, 125.39, 125.23, 124.93, 125.32, 125.46, 125.46, 125.62, 125.34, 125.163, 125.01, 125.115, 125.67, 126.08, 126.15, 126.33, 126.19, 126.3955, 126.71, 126.083, 126.083, 125.23, 124.96, 125.595, 125.77, 125.4, 125.38, 125.54, 126.01, 126.05, 126.01, 125.72, 124.79, 124.05, 124.08, 123.35, 123.85, 123.75, 123.5, 123.58, 122.9285, 122.14, 122.02, 121.86, 121.58, 121.79, 121.68, 122.18, 122.105, 122.37, 122.02, 122.4765, 122.31, 121.99, 121.8401, 121.85, 122.17, 122.27, 122.26, 122.08, 122.02, 121.979, 121.979, 119.74, 119.55, 118.95, 119.12, 119.14, 118.91, 119.0201, 119.235, 118.93, 119.51, 119.51, 120.04, 119.63, 119.661, 119.77, 119.78, 118.89, 118.85, 118.9, 119.2671, 119.73, 119.8, 119.52, 119.43, 119.16, 119.28, 119.19, 119.19, 117.43, 117.18, 117.3, 116.87, 117.07, 117.0565, 117.4497, 117.47, 117.07, 116.856, 116.91, 117.075, 116.6, 116.56, 117.09, 117.361, 117.35, 117.2787, 116.72, 116.76, 116.34, 116.34, 116.34, 119.88, 119.98, 119.8095, 119.995, 119.88, 119.685, 119.48, 119.845, 119.505, 119.65, 119.36, 119.02, 119.73, 119.71, 120.44, 120.65, 120.45, 120.53, 120.41, 120.67, 120.399, 120.39, 119.91, 120.069, 120.18, 120.37, 120.05, 120.05, 123.9711, 124.01, 124.47, 124.14, 124.14, 124.12, 124.14, 123.94, 123.86, 124, 124.07, 124.33, 125.04, 124.99, 125.47, 125.39, 124.91, 124.5802, 124.88, 124.89, 124.48, 124.88, 125.335, 125.12, 125.07, 125.25, 124.96, 124.97, 126.02, 126.41, 126.19, 125.93, 125.5199, 125.575, 125.6702, 125.471, 125.506, 125.41, 125.14, 125.18, 124.86, 124.86, 126.63, 127.01, 126.881, 126.86, 126.81, 126.86, 127.05, 126.945, 126.2946, 126.1511, 126.28, 125.54, 126.24, 126.22, 125.99, 126.41, 126.12, 126.05, 126.17, 126.13, 126.14, 126.43, 126.26, 126.35, 126.89, 126.645, 126.26, 126.26, 125.5, 125.12, 125.49, 125.86, 125.96, 126.28, 126.37, 126.35, 126.115, 126.1, 125.83, 126.42, 126.73, 126.73, 125.79, 125.32, 125.4, 124.98, 125.0601, 125, 124.84, 124.5, 124.6246, 124.56, 124.29, 124.78, 123.98, 123.95, 125.13, 125.24, 125.48, 125.84, 125.73, 125.76, 125.87, 126.02, 125.9, 126.09, 126.19, 126.21, 126.05, 126.05, 124.208, 123.96, 124.04, 123.9, 123.4, 123.48, 123.5046, 123.55, 123.5911, 123.59, 123.71, 123.825, 124.19, 124.21, 125.38, 125.0199, 124.64, 124.64, 124.85, 124.675, 124.79, 124.67, 124.79, 124.53, 123.86, 123.1, 123.05, 123.05, 122.42, 122.25, 121.81, 121.77, 121.66, 121.94, 122.1484, 122.5, 122.0654, 122.07, 121.67, 121.96, 121.71, 121.74, 123.06, 122.57, 122.21, 122.55, 122.31, 122.71, 122.47, 122.4773, 122.405, 122.31, 122.18, 122.37, 122.18, 122.185, 122.44, 122.68, 122.69, 122.51, 121.9, 121.74, 121.6, 121.78, 121.5999, 121.46, 121.67, 121.57, 121.59, 121.59, 122.05, 121.892, 121.47, 121.28, 120.85, 121.09, 121.15, 121.02, 121.24, 121.02, 121.07, 120.21, 120.32, 120.29, 122.99, 123.3, 123.35, 123.47, 123.4254, 123.469, 123.54, 123.72, 123.7, 123.72, 123.9, 123.97, 123.92, 123.93, 123.26, 123.49, 123.31, 123.13, 123.2, 122.85, 123.34, 123.34, 123.59, 123.57, 123.73, 124.03, 124.17, 124.17, 124.98, 124.97, 124.78, 124.8, 124.88, 125.25, 125.22, 125.3, 125.201, 125.3289, 125.1, 125.345, 125.4, 125.27, 125.66, 125.68, 125.73, 125.946, 126.04, 126.11, 126.2, 126.08, 126.11, 126.02, 126.05, 126.005, 126.41, 126.39, 126.77, 126.78, 126.39, 126.57, 126.55, 126.635, 126.58, 126.55, 126.72, 126.62, 126.7, 126.65, 126.49, 126.49, 125.74, 125.4, 125.39, 125.1, 125.05, 125.08, 124.94, 125.14, 125.29, 125.13, 124.99, 124.78, 124.88, 124.83, 125.42, 125.6991, 125.83, 125.64, 125.9505, 125.8001, 125.83, 125.8077, 125.88, 125.89, 125.86, 126, 126.12, 126.12, 126.1685, 126.08, 126.11, 126.22, 126.03, 126, 126.04, 126, 126.04, 125.78, 125.839, 125.94, 125.5, 125.5, 127.95, 128.19, 128.24, 128.18, 127.955, 127.937, 127.52, 127.56, 127.73, 127.85, 128.04, 127.78, 127.49, 127.495, 127.36, 126.9246,
Re: [R] Correlation Matrix
Hi, unless you're dealing with heteroskedastic datas, the command *cor(x)* will be enough, where *x* is your data matrix; in this function you can easily select the method which has to be used: Pearson's, Kendall's or Spearman's correlation. -- View this message in context: http://r.789695.n4.nabble.com/Correlation-Matrix-tp4630389p4630392.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
Re: [R] How to sum and group data by DATE in data frame
Michael Weylandt wrote Can you provide a reproducible example? Of course, Michael. Consider the following time series: 11/2/2011 14:30 123.53 11/2/2011 15:00 123.78 11/2/2011 15:30 124.24 11/2/2011 16:00 124.2 11/2/2011 16:30 124.07 11/2/2011 17:00 123.91 11/2/2011 17:30 123.44 11/2/2011 18:00 123.0616 11/2/2011 18:30 123.06 11/2/2011 19:00 123.13 11/2/2011 19:30 123.745 11/2/2011 20:00 123.96 11/2/2011 20:30 123.99 11/2/2011 21:00 123.99 11/3/2011 14:30 124.3 11/3/2011 15:00 124.38 11/3/2011 15:30 124.67 11/3/2011 16:00 125.19 11/3/2011 16:30 124.9 11/3/2011 17:00 125.27 11/3/2011 17:30 125.5 11/3/2011 18:00 125.58 11/3/2011 18:30 125.91 11/3/2011 19:00 125.8 11/3/2011 19:30 125.83 11/3/2011 20:00 126.215 11/3/2011 20:30 126.25 11/3/2011 21:00 126.25 11/4/2011 14:30 124.901 11/4/2011 15:00 124.43 11/4/2011 15:30 124.4654 11/4/2011 16:00 124.46 11/4/2011 16:30 124.68 11/4/2011 17:00 124.86 11/4/2011 17:30 124.73 11/4/2011 18:00 125.22 11/4/2011 18:30 125.48 11/4/2011 19:00 125.5601 11/4/2011 19:30 125.4091 11/4/2011 20:00 125.15 11/4/2011 20:30 125.43 11/4/2011 21:00 125.481 11/7/2011 15:30 125.91 11/7/2011 16:00 125.29 11/7/2011 16:30 124.79 11/7/2011 17:00 124.77 11/7/2011 17:30 124.7 11/7/2011 18:00 124.37 11/7/2011 18:30 124.56 11/7/2011 19:00 124.86 11/7/2011 19:30 125.3 11/7/2011 20:00 125.59 11/7/2011 20:30 125.95 11/7/2011 21:00 125.73 11/7/2011 21:30 126.27 11/7/2011 22:00 126.26 11/8/2011 15:30 127.33 11/8/2011 16:00 126.37 11/8/2011 16:30 126.46 11/8/2011 17:00 126 11/8/2011 17:30 126.06 11/8/2011 18:00 126.2662 11/8/2011 18:30 126.23 11/8/2011 19:00 126.4499 11/8/2011 19:30 127.12 11/8/2011 20:00 127.48 11/8/2011 20:30 127.49 11/8/2011 21:00 127.69 11/8/2011 21:30 127.88 11/8/2011 22:00 127.88 11/9/2011 15:30 124.51 11/9/2011 16:00 124.42 11/9/2011 16:30 124.92 11/9/2011 17:00 125.18 11/9/2011 17:30 125.23 11/9/2011 18:00 124.81 11/9/2011 18:30 125.07 11/9/2011 19:00 124.61 11/9/2011 19:30 123.8869 11/9/2011 20:00 123.24 11/9/2011 20:30 123.3329 11/9/2011 21:00 123.6 11/9/2011 21:30 123.19 11/9/2011 22:00 123.161 The rownames are datas plus hour, the data column is the time series' value. -- View this message in context: http://r.789695.n4.nabble.com/How-to-sum-and-group-data-by-DATE-in-data-frame-tp903708p4630228.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
Re: [R] How to sum and group data by DATE in data frame
Hello, I have a time series with intraday datas, sampled every 30'; I would need to aggregate them in this way: summing up all datas within a day. I tried to use *aggregate(...)* function to get my goal, but it aggregates in wrong way (I did not understand how so far); what I need is like *sum(...)* function applied to datas within the same day. Thank you :) -- View this message in context: http://r.789695.n4.nabble.com/How-to-sum-and-group-data-by-DATE-in-data-frame-tp903708p4630119.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
Re: [R] How to sum and group data by DATE in data frame
Thank you for your help, Michael. I used *aggregate(x, by = timeSequence(by = day), FUN = sum)* but the results is very different from *sum(x[1:13])*, where 13 is the number of daily observations I've sampled. Michael Weylandt wrote How are you using aggregate()? It seems to sum for me... z - zoo(1:50, seq.POSIXt(from = Sys.time(), by = 30 min, length.out = 50)) aggregate(z, as.Date(time(z)), sum) Best, Michael On Tue, May 15, 2012 at 11:52 AM, Cren lt;oscar.soppelsa@gt; wrote: Hello, I have a time series with intraday datas, sampled every 30'; I would need to aggregate them in this way: summing up all datas within a day. I tried to use *aggregate(...)* function to get my goal, but it aggregates in wrong way (I did not understand how so far); what I need is like *sum(...)* function applied to datas within the same day. Thank you :) -- View this message in context: http://r.789695.n4.nabble.com/How-to-sum-and-group-data-by-DATE-in-data-frame-tp903708p4630119.html Sent from the R help mailing list archive at Nabble.com. __ R-help@ mailing list 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. __ R-help@ mailing list 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. -- View this message in context: http://r.789695.n4.nabble.com/How-to-sum-and-group-data-by-DATE-in-data-frame-tp903708p4630139.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
[R] R i386 2.15.0 'gogarch' package issue
Hi all, I've just downloaded and installed the latest R 32-bit version plus RExcel and R Commander. I'm having several problems in loading gogarch package: The command *library(gogarch, pos=4)* returns *ERROR: package/namespace load failed for 'gogarch'* The command *require(gogarch)* returns *Error : Function found when exporting methods from the namespace 'gogarch' which is not S4 generic: 'print'* How may I solve it? Thank you! -- View this message in context: http://r.789695.n4.nabble.com/R-i386-2-15-0-gogarch-package-issue-tp4629888.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
Re: [R] R i386 2.15.0 'gogarch' package issue
If I use gogarch_0.7-1 the command *require(gogarch)* returns the following error: *Error in get(.packageName, where) : cannot allocate memoby block of size 3.2 Gb* -- View this message in context: http://r.789695.n4.nabble.com/R-i386-2-15-0-gogarch-package-issue-tp4629888p4629889.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
Re: [R] R i386 2.15.0 'gogarch' package issue
Ok, solved. If anyone had the same problem, just install the last gogarch pacakge (vers. 0.7-1) and restart R + R Commander after the package installation. When you've restarted it, the command *require(gogarch)* should load fastICA package in the end and it will work ;) -- View this message in context: http://r.789695.n4.nabble.com/R-i386-2-15-0-gogarch-package-issue-tp4629888p4629890.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
Re: [R] Re : R i386 2.15.0 'gogarch' package issue
Pascal Oettli-2 wrote
Hello,
Probably you should try:
update.packages(checkBuilt=TRUE)
install.packages('gogarch', dependencies=TRUE)
Best Regards,
Pascal
Dear Pascal Oettli-2,
thank you for your suggestment; I was not aware of that command and it will
be very useful when new release of R will be available ;)
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[R] Hi! Help using FitARMA package in RExcel
Hi all :) Before posting, I used the search function to find a solution, but I wasn't lucky. I'm using RExcel; I've read several examples which explain how to call in RExcel an R function via =RApply(...) but I don't understand how may I include in the function several numeric arguments. Take this example: I want to use the following R function from FitARMA package: FitARMA(z, order = c(0, 0, 0), demean = TRUE, MeanMLEQ = FALSE, pApprox = 30, MaxLag = 30) What's the right syntax? How may I get the ARMA coefficients and/or the t+1 ARMA forecast in RExcel? Thank you very much! -- View this message in context: http://r.789695.n4.nabble.com/Hi-Help-using-FitARMA-package-in-RExcel-tp3528577p3528577.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
