Re: [R] Calculating monthly var-cov matrix on non-overlapping rooling window basis
You can't calculate the var indeed of cov On 28/02/2008, Megh Dal [EMAIL PROTECTED] wrote: Thanks Henrique for this mail. It works fine. However I need one more modification. When number of column is 1 then some error is coming : library(zoo) date.data = seq(as.Date(01/01/01, format = %m/%d/%y),as.Date(06/25/02, format = %m/%d/%y), by = 1) len = length(date.data) data1 = zoo(matrix(rnorm(len), nrow = len), date.data ) head(data1) 2001-01-01 -1.5128990 2001-01-02 -0.2939971 2001-01-03 1.6387866 2001-01-04 -0.8107857 2001-01-05 0.7966224 2001-01-06 0.6007594 lapply(split(data1, format(index(data1), %m)), cov) Error in FUN(X[[1L]], ...) : supply both 'x' and 'y' or a matrix-like 'x' However I tried with an 'ifelse' condition : lapply(split(data1, format(index(data1), %m)), ifelse(dim(data1)[1] 1, cov, var)) Still I am getting error. What to do? Henrique Dallazuanna [EMAIL PROTECTED] wrote: Perhaps something like this: lapply(split(data1, format(index(data1), %m)), cov) On 27/02/2008, Megh Dal wrote: let create a 'zoo' object : library(zoo) date.data = seq(as.Date(01/01/01, format = %m/%d/%y), as.Date(06/25/02, format = %m/%d/%y), by = 1) len = length(date.data) data1 = zoo(matrix(rnorm(2*len), nrow = len), date.data ) head(data1) Now I want to create an 3 dimensional array (suppose name var.cov) where, var.cov[,,i] gives the Variance-covariance matrix for i-th month of data1. That is I want to calculate monthly variance-covariance matrix on non-overlapping rolling window basis. Any suggestion? - [[alternative HTML version deleted]] __ 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. -- Henrique Dallazuanna Curitiba-Paraná-Brasil 25° 25' 40 S 49° 16' 22 O Looking for last minute shopping deals? Find them fast with Yahoo! Search. -- Henrique Dallazuanna Curitiba-Paraná-Brasil 25° 25' 40 S 49° 16' 22 O __ 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] Calculating monthly var-cov matrix on non-overlapping rooling window basis
Perhaps something like this: lapply(split(data1, format(index(data1), %m)), cov) On 27/02/2008, Megh Dal [EMAIL PROTECTED] wrote: let create a 'zoo' object : library(zoo) date.data = seq(as.Date(01/01/01, format = %m/%d/%y), as.Date(06/25/02, format = %m/%d/%y), by = 1) len = length(date.data) data1 = zoo(matrix(rnorm(2*len), nrow = len), date.data ) head(data1) Now I want to create an 3 dimensional array (suppose name var.cov) where, var.cov[,,i] gives the Variance-covariance matrix for i-th month of data1. That is I want to calculate monthly variance-covariance matrix on non-overlapping rolling window basis. Any suggestion? - [[alternative HTML version deleted]] __ 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. -- Henrique Dallazuanna Curitiba-Paraná-Brasil 25° 25' 40 S 49° 16' 22 O __ 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] Calculating monthly var-cov matrix on non-overlapping rooling window basis
Thanks Henrique for this mail. It works fine. However I need one more modification. When number of column is 1 then some error is coming : library(zoo) date.data = seq(as.Date(01/01/01, format = %m/%d/%y),as.Date(06/25/02, format = %m/%d/%y), by = 1) len = length(date.data) data1 = zoo(matrix(rnorm(len), nrow = len), date.data ) head(data1) 2001-01-01 -1.5128990 2001-01-02 -0.2939971 2001-01-03 1.6387866 2001-01-04 -0.8107857 2001-01-05 0.7966224 2001-01-06 0.6007594 lapply(split(data1, format(index(data1), %m)), cov) Error in FUN(X[[1L]], ...) : supply both 'x' and 'y' or a matrix-like 'x' However I tried with an 'ifelse' condition : lapply(split(data1, format(index(data1), %m)), ifelse(dim(data1)[1] 1, cov, var)) Still I am getting error. What to do? Henrique Dallazuanna [EMAIL PROTECTED] wrote: Perhaps something like this: lapply(split(data1, format(index(data1), %m)), cov) On 27/02/2008, Megh Dal wrote: let create a 'zoo' object : library(zoo) date.data = seq(as.Date(01/01/01, format = %m/%d/%y), as.Date(06/25/02, format = %m/%d/%y), by = 1) len = length(date.data) data1 = zoo(matrix(rnorm(2*len), nrow = len), date.data ) head(data1) Now I want to create an 3 dimensional array (suppose name var.cov) where, var.cov[,,i] gives the Variance-covariance matrix for i-th month of data1. That is I want to calculate monthly variance-covariance matrix on non-overlapping rolling window basis. Any suggestion? - [[alternative HTML version deleted]] __ 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. -- Henrique Dallazuanna Curitiba-Paraná-Brasil 25° 25' 40 S 49° 16' 22 O - [[alternative HTML version deleted]] __ 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.
