Thank you very much Mike. The script is working now.
Jorge
From: R. Michael Weylandt [michael.weyla...@gmail.com]
Sent: 30 January 2012 04:29
To: Jorge Molinos; r-help
Subject: Re: [R] Calculate a function repeatedly over sections of a ts object
Sorry, that last line should read:
FUN=function(z){
lz - length(z)
SDF(z,method=lag window,
window=taper(type=parzen,n.sample=lz,cutoff= 2*sqrt(lz)), npad=2*lz)
}
On Sun, Jan 29, 2012 at 11:29 PM, R. Michael Weylandt
michael.weyla...@gmail.com wrote:
It's customary to keep the list cc'd.
I can't run your code without the data, but it does seem to me that
your problem is in the FUN argument, as you guess.
You have:
FUN=function(z) SDF(adezoo,method=lag window,
window=taper(type=parzen,n.sample=n.d,cutoff=(2*sqrt(n.d))),
npad=2*n.d)
But this function doesn't actually act on it's argument: you tell it
to accept something called z but then it never gets told to do
anything to z. Perhaps you meant
FUN=function(z) SDF(z,method=lag window,
window=taper(type=parzen,n.sample=n.d,cutoff=(2*sqrt(n.d))),
npad=2*n.d)
I also worry about your use of n.d; are you sure you don't want to
use the length of the rolling window? Something more like:
FUN=function(z){
lz - length(z)
SDF(z,method=lag window,
window=taper(type=parzen,n.sample=lz,cutoff= 2*sqrt(lz)),
npad=2*nlz)
}
Does that fix it?
Michael
On Fri, Jan 27, 2012 at 1:06 PM, Jorge Molinos jgarc...@tcd.ie wrote:
Hi Michael,
Sorry, I've been trying to use rollapply with my function but it seems I
can't get it to work properly. The function seems to be dividing the time
series accordingly (every 1) and using the correct length for the time
window (10 years) but when I look at the results all of them are the same
for all the subseries which doesn't make sense. The problem has to be within
the FUN argument though I cannot figure out what it is. Would you mind
checking on the code to see if you can spot where is the problem?
adets-ts(adeery$DA,c(adeery$Year[1],adeery$Day[1]),frequency=365)
adezoo-as.zoo(adets)
n.d-length(adets)
especlist-rollapply(adezoo, width=3650, FUN=function(z)
SDF(adezoo,method=lag window,
window=taper(type=parzen,n.sample=n.d,cutoff=(2*sqrt(n.d))),
npad=2*n.d), by = 365, align=left)
And these are, for example, the SDF values at the last day for each 10-y
subseries (all the same though they should be different as I have it verify
by doing the SDF step by step using the same values for the arguments within
the function):
especlist1.7048
1978(20)1.998068e-06
1979(20)1.998068e-06
1980(20)1.998068e-06
1981(20)1.998068e-06
1982(20)1.998068e-06
1983(20)1.998068e-06
1984(20)1.998068e-06
1985(20)1.998068e-06
1986(20)1.998068e-06
1987(20)1.998068e-06
Thanks a lot.
Jorge
From: R. Michael Weylandt [michael.weyla...@gmail.com]
Sent: 26 January 2012 21:00
To: Jorge Molinos
Cc: r-help@R-project.org
Subject: Re: [R] Calculate a function repeatedly over sections of a ts object
I'm not sure if it's easily doable with a ts class, but the rollapply
function in the zoo package will do this easily. (Also, I find zoo to
be a much more natural time-series workflow than ts so it might make
the rest of your life easier as well)
Michael
On Thu, Jan 26, 2012 at 2:24 PM, Jorge Molinos jgarc...@tcd.ie wrote:
Hi,
I want to apply a function (in my case SDF; package “sapa”) repeatedly over
discrete sections of a daily time series object by sliding a time window of
constant length (e.g. 10 consecutive years or 1825 days) over the entire ts
at increments of 1 time unit (e.g. 1 year or 365 days). So for example, the
first SDF would be calculated for the daily values of my variable recorded
between years 1 to 5, SDF2 to those for years 2 to 6 and so on until the
total length of the series is covered. How can I implement this into a R
script? Any help is much appreciated.
Jorge
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