Mark Leeds [EMAIL PROTECTED] wrote (to S-News):
does anyone know the R equivalent of the SPlus rowVars function ?
Andy Liaw [EMAIL PROTECTED] replied:
More seriously, I seem to recall David Brahms at one time had created an R
package with these dimensional summary statistics, using C code. (And I
pointed him to the `two-pass' algorithm for variance.)
Here are the functions that didn't make it into R's base package, which should
be very similar to the S-Plus functions of the same names. The twopass
argument determines whether Andy's two-pass algorithm (Chan Golub LeVegue) is
used (it's slower but more accurate). In real life I set the twopass default
to FALSE, because in finance noise is always bigger than signal.
I am cc'ing to R-help, as this is really an R question.
--
-- David Brahm ([EMAIL PROTECTED])
colVars - function(x, na.rm=FALSE, dims=1, unbiased=TRUE, SumSquares=FALSE,
twopass=TRUE) {
if (SumSquares) return(colSums(x^2, na.rm, dims))
N - colSums(!is.na(x), FALSE, dims)
Nm1 - if (unbiased) N-1 else N
if (twopass) {x - if (dims==length(dim(x))) x - mean(x, na.rm=na.rm) else
sweep(x, (dims+1):length(dim(x)), colMeans(x,na.rm,dims))}
(colSums(x^2, na.rm, dims) - colSums(x, na.rm, dims)^2/N) / Nm1
}
rowVars - function(x, na.rm=FALSE, dims=1, unbiased=TRUE, SumSquares=FALSE,
twopass=TRUE) {
if (SumSquares) return(rowSums(x^2, na.rm, dims))
N - rowSums(!is.na(x), FALSE, dims)
Nm1 - if (unbiased) N-1 else N
if (twopass) {x - if (dims==0) x - mean(x, na.rm=na.rm) else
sweep(x, 1:dims, rowMeans(x,na.rm,dims))}
(rowSums(x^2, na.rm, dims) - rowSums(x, na.rm, dims)^2/N) / Nm1
}
colStdevs - function(x, ...) sqrt(colVars(x, ...))
rowStdevs - function(x, ...) sqrt(rowVars(x, ...))
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