[Rd] discrepancy between lm and MASS:rlm
Dear R-devel, There seems to be a discrepancy in the order in which lm and rlm evaluate their arguments. This causes rlm to sometimes produce an error where lm is just fine. Here is a little script that illustrate the issue: library(MASS) ## create data n - 100 dat - data.frame(x=rep(c(-1,0,1), n), y=rnorm(3*n)) ## call lm, works fine summary(lm(y ~ as.factor(x), data=dat, subset=x!=0)) Call: lm(formula = y ~ as.factor(x), data = dat, subset = x != 0) Residuals: Min 1Q Median 3Q Max -2.60619 -0.82160 0.06307 0.65501 2.56677 Coefficients: Estimate Std. Error t value Pr(|t|) (Intercept) 0.061010 0.100027 0.6100.543 as.factor(x)1 0.001332 0.141459 0.0090.992 Residual standard error: 1 on 198 degrees of freedom Multiple R-squared: 4.479e-07, Adjusted R-squared: -0.00505 F-statistic: 8.868e-05 on 1 and 198 DF, p-value: 0.9925 ## call rlm, error summary(rlm(y ~ as.factor(x), data=dat, subset=x!=0)) Error in rlm.default(x, y, weights, method = method, wt.method = wt.method, : 'x' is singular: singular fits are not implemented in rlm My guess is that rlm first converts x to a factor, which becomes a three-level factor, then subsets on x!=0, which effectively eliminates a level, and then creates a regression matrix, which becomes singular due to the absence of data for a level. Is there a simple way to work around it. The simplest I could think of is with(subset(dat, x!=0), rlm(y ~ as.factor(x)) which is ok, but most of my scripts make use of data arg to regressions and I'd like to stay consistent as much as practical. Thanks, Vadim Note: This email is for the confidential use of the named addressee(s) only and may contain proprietary, confidential or privileged information. If you are not the intended recipient, you are hereby notified that any review, dissemination or copying of this email is strictly prohibited, and to please notify the sender immediately and destroy this email and any attachments. Email transmission cannot be guaranteed to be secure or error-free. Jump Trading, therefore, does not make any guarantees as to the completeness or accuracy of this email or any attachments. This email is for informational purposes only and does not constitute a recommendation, offer, request or solicitation of any kind to buy, sell, subscribe, redeem or perform any type of transaction of a financial product. __ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
Re: [Rd] discrepancy between lm and MASS:rlm
Indeed! I added the drop.unused.levels argument and it now works. Thank you
Bill!
Here is a patch which one should use at one's own risk as it redefines
rlm.formula as global object, i.e. rlm.formula is no longer in the MASS
namespace and this is certainly not a good idea:
rlm.formula - function (formula, data, weights, ..., subset, na.action, method
= c(M,
MM, model.frame), wt.method = c(inv.var, case), model = TRUE,
x.ret = TRUE, y.ret = FALSE, contrasts = NULL)
{
mf - match.call(expand.dots = FALSE)
mf$method - mf$wt.method - mf$model - mf$x.ret - mf$y.ret -
mf$contrasts - mf$... - NULL
mf$drop.unused.levels - TRUE
mf[[1L]] - as.name(model.frame)
mf - eval.parent(mf)
method - match.arg(method)
wt.method - match.arg(wt.method)
if (method == model.frame)
return(mf)
mt - attr(mf, terms)
y - model.response(mf)
offset - model.offset(mf)
if (!is.null(offset))
y - y - offset
x - model.matrix(mt, mf, contrasts)
xvars - as.character(attr(mt, variables))[-1L]
if ((yvar - attr(mt, response)) 0L)
xvars - xvars[-yvar]
xlev - if (length(xvars) 0L) {
xlev - lapply(mf[xvars], levels)
xlev[!sapply(xlev, is.null)]
}
weights - model.weights(mf)
if (!length(weights))
weights - rep(1, nrow(x))
fit - MASS:::rlm.default(x, y, weights, method = method, wt.method =
wt.method,
...)
fit$terms - mt
cl - match.call()
cl[[1L]] - as.name(rlm)
fit$call - cl
fit$contrasts - attr(x, contrasts)
fit$xlevels - .getXlevels(mt, mf)
fit$na.action - attr(mf, na.action)
if (model)
fit$model - mf
if (!x.ret)
fit$x - NULL
if (y.ret)
fit$y - y
fit
}
-Original Message-
From: William Dunlap [mailto:wdun...@tibco.com]
Sent: Monday, March 14, 2011 1:39 PM
To: Vadim Ogranovich; r-devel@r-project.org
Subject: RE: [Rd] discrepancy between lm and MASS:rlm
-Original Message-
From: r-devel-boun...@r-project.org
[mailto:r-devel-boun...@r-project.org] On Behalf Of Vadim Ogranovich
Sent: Monday, March 14, 2011 10:37 AM
To: 'r-devel@r-project.org'
Subject: [Rd] discrepancy between lm and MASS:rlm
Dear R-devel,
There seems to be a discrepancy in the order in which lm and
rlm evaluate their arguments. This causes rlm to sometimes
produce an error where lm is just fine.
It may not be a problem with the order of evaluation. rlm()
might not be calling model.frame() with drop.unused.levels=TRUE.
I've made that mistake before with similar symptoms.
Bill Dunlap
Spotfire, TIBCO Software
wdunlap tibco.com
Here is a little script that illustrate the issue:
library(MASS)
## create data
n - 100
dat - data.frame(x=rep(c(-1,0,1), n), y=rnorm(3*n))
## call lm, works fine
summary(lm(y ~ as.factor(x), data=dat, subset=x!=0))
Call:
lm(formula = y ~ as.factor(x), data = dat, subset = x != 0)
Residuals:
Min 1Q Median 3Q Max
-2.60619 -0.82160 0.06307 0.65501 2.56677
Coefficients:
Estimate Std. Error t value Pr(|t|)
(Intercept) 0.061010 0.100027 0.6100.543
as.factor(x)1 0.001332 0.141459 0.0090.992
Residual standard error: 1 on 198 degrees of freedom
Multiple R-squared: 4.479e-07, Adjusted R-squared: -0.00505
F-statistic: 8.868e-05 on 1 and 198 DF, p-value: 0.9925
## call rlm, error
summary(rlm(y ~ as.factor(x), data=dat, subset=x!=0))
Error in rlm.default(x, y, weights, method = method,
wt.method = wt.method, :
'x' is singular: singular fits are not implemented in rlm
My guess is that rlm first converts x to a factor, which
becomes a three-level factor, then subsets on x!=0, which
effectively eliminates a level, and then creates a
regression matrix, which becomes singular due to the
absence of data for a level.
Is there a simple way to work around it. The simplest I could
think of is
with(subset(dat, x!=0), rlm(y ~ as.factor(x))
which is ok, but most of my scripts make use of data arg to
regressions and I'd like to stay consistent as much as practical.
Thanks,
Vadim
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R
[Rd] calling browser on error
Dear R-developers,
I am trying to figure out a way to call browser() when an error occur, and
naturally I want the browser() to be called in the environment of the error.
I tried something simple in vain:
f - function() { x - 1; stop('ok') }
tryCatch(f(), error=browser())
Called from: tryCatch(f(), error = browser())
## if browser() was called in the local environment of f then 'x' would be set,
but it's not
Browse[1] x
Error: object 'x' not found
Browse[1] Q
Is there a way to make it work? What do people do to 'set an on-error
breakpoint'?
Thanks,
Vadim
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Re: [Rd] calling browser on error
Joshua,
I didn't know about 'recover', thank you!
Anyway it doesn't work for me:
tryCatch((function() { x - 1; stop('ok') })(), error=recover())
Enter a frame number, or 0 to exit
1: tryCatch((function() {
Selection: 1
Called from: eval(expr, envir, enclos)
Browse[1] x
Error: object 'x' not found
Browse[1] Q
Though it does work if I set options(error = recover):
options(error = recover)
(function() { x - 1; stop('ok') })()
Error in (function() { : ok
Enter a frame number, or 0 to exit
1: (function() {
Selection: 1
Called from: eval(expr, envir, enclos)
Browse[1] x
[1] 1
Browse[1] Q
I do not run the latest R so it might be the reason:
version
_
platform i386-pc-mingw32
arch i386
os mingw32
system i386, mingw32
status
major 2
minor 9.1
year 2009
month 06
day26
svn rev48839
language R
version.string R version 2.9.1 (2009-06-26)
-Original Message-
From: Joshua Ulrich [mailto:josh.m.ulr...@gmail.com]
Sent: Friday, October 15, 2010 1:31 PM
To: Vadim Ogranovich
Cc: r-devel@r-project.org
Subject: Re: [Rd] calling browser on error
I believe options(error=recover) will do what you want.
--
Joshua Ulrich | FOSS Trading: www.fosstrading.com
On Fri, Oct 15, 2010 at 1:27 PM, Vadim Ogranovich
vogranov...@jumptrading.com wrote:
Dear R-developers,
I am trying to figure out a way to call browser() when an error occur, and
naturally I want the browser() to be called in the environment of the error.
I tried something simple in vain:
f - function() { x - 1; stop('ok') }
tryCatch(f(), error=browser())
Called from: tryCatch(f(), error = browser())
## if browser() was called in the local environment of f then 'x' would be
set, but it's not
Browse[1] x
Error: object 'x' not found
Browse[1] Q
Is there a way to make it work? What do people do to 'set an on-error
breakpoint'?
Thanks,
Vadim
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Re: [Rd] [R] converting result of substitute to 'ordidnary' expression
I switched the thread to r-devel because here I am proposing a patch for
subset.data.frame().
Thank you Chuck, it was inspiring. It turns out that a simple modification to
subset.data.frame makes my example work:
subset.data.frame -
function (x, subset, select, drop = FALSE, ...)
{
if (missing(subset))
r - TRUE
else {
r - eval(substitute(subset), x, parent.frame())
if (!is.logical(r)) {
## try w/o substitute
r - eval(subset, x, parent.frame())
}
if (!is.logical(r))
stop('subset' must evaluate to logical)
r - r !is.na(r)
}
if (missing(select))
vars - TRUE
else {
nl - as.list(1L:ncol(x))
names(nl) - names(x)
vars - eval(substitute(select), nl, parent.frame())
}
x[r, vars, drop = drop]
}
And now:
dat - data.frame(x=1:10, y=1:10)
subset(dat, 5x)
x y
6 6 6
7 7 7
8 8 8
9 9 9
10 10 10
subsetexp - expression(5x)
subset(dat, subsetexp)
x y
6 6 6
7 7 7
8 8 8
9 9 9
10 10 10
do.call(subset, list(dat, subsetexp))
x y
6 6 6
7 7 7
8 8 8
9 9 9
10 10 10
version
_
platform i386-pc-mingw32
arch i386
os mingw32
system i386, mingw32
status
major 2
minor 9.1
year 2009
month 06
day26
svn rev48839
language R
version.string R version 2.9.1 (2009-06-26)
Thank you,
Vadim
-Original Message-
From: Charles C. Berry [mailto:cbe...@tajo.ucsd.edu]
Sent: Friday, June 25, 2010 9:16 PM
To: Vadim Ogranovich
Cc: 'r-h...@r-project.org'
Subject: Re: [R] converting result of substitute to 'ordidnary' expression
On Fri, 25 Jun 2010, Vadim Ogranovich wrote:
Dear R users,
As substitute() help page points out:
Substituting and quoting often causes confusion when the argument
is 'expression(...)'. The result is a call to the 'expression'
constructor function and needs to be evaluated with 'eval' to give
the actual expression object.
And indeed I am confused. Consider:
dat - data.frame(x=1:10, y=1:10)
subsetexp - substitute(ax, list(a=5))
## this doesn't work
subset(dat, subsetexp)
Error in subset.data.frame(dat, subsetexp) :
'subset' must evaluate to logical
## this does work (thanks to the help page), but one needs to remember to
call eval
subset(dat, eval(subsetexp))
Is there a way to create subsetexp that needs no eval inside the call to
subset()?
I do not think so. See
page(subset.data.frame,'print')
Then think about this:
eval(substitute(subsetexp))
5 x
eval(substitute(subsetexp),list(x=2))
5 x
eval(substitute(eval(subsetexp)),list(x=2))
[1] FALSE
The added layer of substitution is making things a bit tricky.
One alternative is to build up your own call like this:
sss - expression(subset(dat,sbst))
sss[[1]][[3]] - subsetexp
sss
expression(subset(dat, 5 x))
eval(sss)
x y
6 6 6
7 7 7
8 8 8
9 9 9
10 10 10
HTH,
Chuck
I experimented with the following, but it didn't work:
subsetexp - eval(substitute(ax, list(a=5)))
Error in eval(expr, envir, enclos) : object 'x' not found
Thank you very much for your help,
Vadim
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Charles C. Berry(858) 534-2098
Dept of Family/Preventive Medicine
E mailto:cbe...@tajo.ucsd.edu UC San Diego
http://famprevmed.ucsd.edu/faculty/cberry/ La Jolla, San Diego 92093-0901
Note: This email is for the confidential use of the named addressee(s) only and
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the intended recipient, you are hereby notified that any review, dissemination
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transmission cannot be guaranteed to be secure
[Rd] Save all objects in all environment stack
Dear R Developers,
I am writing a function that would save all objects in all environments
'visible' from the point where the function is called (very much like
save.image, but kind of saving the entire stack).
I figured that the call
lapply (seq(0, sys.nframe()), function(i) ls(sys.frame(i), all.names=T))
will list all such objects.
However not all of them seem to be visible, see a session transcript below
## create a simple function with a 'breakpoint'
f - function(x) { browser() }
## call f in lapply inside an anonymous function defined on the fly
(function(d) lapply('a', f))('d')
Called from: FUN(a[[1L]], ...)
## Examine all frames
Browse[1] lapply(seq(0, sys.nframe()), function(i) ls(sys.frame(i),
all.names=T))
[[1]]
[1] f
[[2]]
[1] d
[[3]]
[1] ... FUN X
[[4]]
[1] x
## try to get d, which is in the second entry on the list
Browse[1] d
Error: object 'd' not found
Why 'd' is not found?
Did anyone try to write a function that, loosely speaking, saves the entire
stack?
Thanks,
Vadim
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Re: [Rd] bug in approx crashes R
Thank you Martin! The new 'rule'-s is exactly what I wanted. It's intuitive and
consistent with the scalar use.
Thanks,
Vadim
-Original Message-
From: Martin Maechler [mailto:maech...@stat.math.ethz.ch]
Sent: Tuesday, July 28, 2009 5:00 AM
To: Vadim Ogranovich
Cc: 'William Dunlap'; r-devel@r-project.org
Subject: Re: [Rd] bug in approx crashes R
Vadim Ogranovich vogranov...@jumptrading.com
on Mon, 27 Jul 2009 12:47:47 -0500 writes:
Thank you Bill.
Indeed, thank you, Bill Dunlap!
The original motivation for my
experiments with setting yleft to NULL was to see if I
could get more flexibility that that allowed by the
'rule' argument. To recall:
rule: an integer describing how interpolation is to
take place outside the interval ['min(x)', 'max(x)']. If
'rule' is '1' then 'NA's are returned for such points
and if it is '2', the value at the closest data extreme
is used.
What I wanted is to interpolate at the left end, but not
at the right end. Still don't know how to do that.
Really?
If you quickly browse the code, you see that's it's simply a
matter of correctly setting yleft and yright.
But in order to help future users, and since it's so trivial,
I will change approxfun() {my favorite} and approx() to also
accept
rule = c(1,2)
or rule = c(2,1)
I agree that having a clear error message when yleft,
yright, and f are set to non-scalars is better than
silently returning NA.
yes, I agree too.
---
Martin Maechler, ETH Zurich
Thanks,
Vadim
-Original Message-
From: William Dunlap [mailto:wdun...@tibco.com]
Sent: Monday, July 27, 2009 12:14 PM
To: Vadim Ogranovich; r-devel@r-project.org
Subject: RE: [Rd] bug in approx crashes R
The C code called by approx (via .C, not .Call), following the help
file,
assumes that yleft and yright are scalars but NULL is not scalar.
The following change would let your example work (returning NA)
--- R/approx.R (revision 48911)
+++ R/approx.R (working copy)
@@ -61,8 +61,8 @@
}
y - .C(R_approx, as.double(x), as.double(y), as.integer(nx),
xout = as.double(xout), as.integer(length(xout)),
- as.integer(method), as.double(yleft), as.double(yright),
- as.double(f), NAOK = TRUE, PACKAGE = stats)$xout
+ as.integer(method), as.double(yleft)[1],
as.double(yright)[1],
+ as.double(f)[1], NAOK = TRUE, PACKAGE = stats)$xout
list(x = xout, y = y)
}
but I think it would be better to get an error message that yleft,
yright, and f are expected to be scalar:
--- R/approx.R (revision 48911)
+++ R/approx.R (working copy)
@@ -59,6 +59,7 @@
stop('approx' requires n = 1)
xout - seq.int(x[1L], x[nx], length.out = n)
}
+stopifnot(length(yleft)==1, length(yright)==1, length(f)==1)
y - .C(R_approx, as.double(x), as.double(y), as.integer(nx),
xout = as.double(xout), as.integer(length(xout)),
as.integer(method), as.double(yleft), as.double(yright),
Bill Dunlap
TIBCO Software Inc - Spotfire Division
wdunlap tibco.com
-Original Message-
From: r-devel-boun...@r-project.org
[mailto:r-devel-boun...@r-project.org] On Behalf Of Vadim Ogranovich
Sent: Tuesday, July 21, 2009 12:24 PM
To: 'r-devel@r-project.org'
Subject: [Rd] bug in approx crashes R
Dear R-devel,
The following line crashes R
approx(1, 1, 0, method='const', rule=2, f=0, yleft=NULL,
ties='ordered')$y
Process R:2 exited abnormally with code 5 at Tue Jul 21 14:18:09 2009
version
_
platform i386-pc-mingw32
arch i386
os mingw32
system i386, mingw32
status
major 2
minor 9.1
year 2009
month 06
day26
svn rev48839
language R
version.string R version 2.9.1 (2009-06-26)
Thanks,
Vadim
__
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Note: This email is for the confidential use of the named addressee(s) only and
may contain proprietary, confidential or privileged information. If you are not
the intended recipient, you are hereby notified that any review, dissemination
or copying of this email is strictly prohibited, and to please notify the
sender immediately and destroy this email and any attachments. Email
transmission cannot be guaranteed to be secure or error-free. Jump Trading,
therefore, does not make any guarantees as to the completeness or accuracy of
this email or any attachments. This email is for informational purposes only
and does not constitute a recommendation, offer, request or solicitation
Re: [Rd] bug in approx crashes R
Thank you Bill.
The original motivation for my experiments with setting yleft to NULL was to
see if I could get more flexibility that that allowed by the 'rule' argument.
To recall:
rule: an integer describing how interpolation is to take place
outside the interval ['min(x)', 'max(x)']. If 'rule' is '1'
then 'NA's are returned for such points and if it is '2', the
value at the closest data extreme is used.
What I wanted is to interpolate at the left end, but not at the right end.
Still don't know how to do that.
I agree that having a clear error message when yleft, yright, and f are set to
non-scalars is better than silently returning NA.
Thanks,
Vadim
-Original Message-
From: William Dunlap [mailto:wdun...@tibco.com]
Sent: Monday, July 27, 2009 12:14 PM
To: Vadim Ogranovich; r-devel@r-project.org
Subject: RE: [Rd] bug in approx crashes R
The C code called by approx (via .C, not .Call), following the help
file,
assumes that yleft and yright are scalars but NULL is not scalar.
The following change would let your example work (returning NA)
--- R/approx.R (revision 48911)
+++ R/approx.R (working copy)
@@ -61,8 +61,8 @@
}
y - .C(R_approx, as.double(x), as.double(y), as.integer(nx),
xout = as.double(xout), as.integer(length(xout)),
- as.integer(method), as.double(yleft), as.double(yright),
- as.double(f), NAOK = TRUE, PACKAGE = stats)$xout
+ as.integer(method), as.double(yleft)[1],
as.double(yright)[1],
+ as.double(f)[1], NAOK = TRUE, PACKAGE = stats)$xout
list(x = xout, y = y)
}
but I think it would be better to get an error message that yleft,
yright, and f are expected to be scalar:
--- R/approx.R (revision 48911)
+++ R/approx.R (working copy)
@@ -59,6 +59,7 @@
stop('approx' requires n = 1)
xout - seq.int(x[1L], x[nx], length.out = n)
}
+stopifnot(length(yleft)==1, length(yright)==1, length(f)==1)
y - .C(R_approx, as.double(x), as.double(y), as.integer(nx),
xout = as.double(xout), as.integer(length(xout)),
as.integer(method), as.double(yleft), as.double(yright),
Bill Dunlap
TIBCO Software Inc - Spotfire Division
wdunlap tibco.com
-Original Message-
From: r-devel-boun...@r-project.org
[mailto:r-devel-boun...@r-project.org] On Behalf Of Vadim Ogranovich
Sent: Tuesday, July 21, 2009 12:24 PM
To: 'r-devel@r-project.org'
Subject: [Rd] bug in approx crashes R
Dear R-devel,
The following line crashes R
approx(1, 1, 0, method='const', rule=2, f=0, yleft=NULL,
ties='ordered')$y
Process R:2 exited abnormally with code 5 at Tue Jul 21 14:18:09 2009
version
_
platform i386-pc-mingw32
arch i386
os mingw32
system i386, mingw32
status
major 2
minor 9.1
year 2009
month 06
day26
svn rev48839
language R
version.string R version 2.9.1 (2009-06-26)
Thanks,
Vadim
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[Rd] bug in approx crashes R
Dear R-devel, The following line crashes R approx(1, 1, 0, method='const', rule=2, f=0, yleft=NULL, ties='ordered')$y Process R:2 exited abnormally with code 5 at Tue Jul 21 14:18:09 2009 version _ platform i386-pc-mingw32 arch i386 os mingw32 system i386, mingw32 status major 2 minor 9.1 year 2009 month 06 day26 svn rev48839 language R version.string R version 2.9.1 (2009-06-26) Thanks, Vadim Note: This email is for the confidential use of the named addressee(s) only and may contain proprietary, confidential or privileged information. If you are not the intended recipient, you are hereby notified that any review, dissemination or copying of this email is strictly prohibited, and to please notify the sender immediately and destroy this email and any attachments. Email transmission cannot be guaranteed to be secure or error-free. Jump Trading, therefore, does not make any guarantees as to the completeness or accuracy of this email or any attachments. This email is for informational purposes only and does not constitute a recommendation, offer, request or solicitation of any kind to buy, sell, subscribe, redeem or perform any type of transaction of a financial product. __ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
Re: [Rd] lsfit w/ rank-deficient x
Actually, the correct permutation is given by the inverse of qr$pivot: foo$coefficients[foo$qr$pivot] - foo$coefficients Here foo is an object returned by lsfit, see below. -Original Message- From: Vadim Ogranovich Sent: Friday, March 13, 2009 5:25 PM To: 'r-devel@r-project.org' Subject: lsfit w/ rank-deficient x Dear R-devel, It seems that lsfit incorrectly reports coefficients when the input matrix 'x' is rank-deficient, see the example below: ## here values of 'b' and 'c' are incorrectly swapped x - cbind(a=rnorm(100), b=0, c=rnorm(100)); y - rnorm(100); lsfit(x, y)$coef Intercept a b c -0.0227787 0.1042860 -0.1729261 0.000 Warning message: In lsfit(x, y) : 'X' matrix was collinear ## correct values lsfit(x[,-2], y)$coef Intercept a c -0.0227787 0.1042860 -0.1729261 I looked inside the lsfit code and it appears that even though rank-deficiency is detected there is no attempt to patch the coefficients. Why is that? Taking clues from the code it appears that the following trick might do the work: foo - lsfit(x, y) Warning message: In lsfit(x, y) : 'X' matrix was collinear structure(foo$coefficients[foo$qr$pivot], names=names(foo$coefficients)) Intercept a b c 0.14857345 -0.07473099 0. 0.12835155 Is this reliable or there are cases when it may fail? Thanks, Vadim P.S. version _ platform i386-pc-mingw32 arch i386 os mingw32 system i386, mingw32 status major 2 minor 7.1 year 2008 month 06 day23 svn rev45970 language R version.string R version 2.7.1 (2008-06-23) Note: This email is for the confidential use of the named addressee(s) only and may contain proprietary, confidential or privileged information. If you are not the intended recipient, you are hereby notified that any review, dissemination or copying of this email is strictly prohibited, and to please notify the sender immediately and destroy this email and any attachments. Email transmission cannot be guaranteed to be secure or error-free. Jump Trading, therefore, does not make any guarantees as to the completeness or accuracy of this email or any attachments. This email is for informational purposes only and does not constitute a recommendation, offer, request or solicitation of any kind to buy, sell, subscribe, redeem or perform any type of transaction of a financial product. __ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
[Rd] lsfit w/ rank-deficient x
Dear R-devel, It seems that lsfit incorrectly reports coefficients when the input matrix 'x' is rank-deficient, see the example below: ## here values of 'b' and 'c' are incorrectly swapped x - cbind(a=rnorm(100), b=0, c=rnorm(100)); y - rnorm(100); lsfit(x, y)$coef Intercept a b c -0.0227787 0.1042860 -0.1729261 0.000 Warning message: In lsfit(x, y) : 'X' matrix was collinear ## correct values lsfit(x[,-2], y)$coef Intercept a c -0.0227787 0.1042860 -0.1729261 I looked inside the lsfit code and it appears that even though rank-deficiency is detected there is no attempt to patch the coefficients. Why is that? Taking clues from the code it appears that the following trick might do the work: foo - lsfit(x, y) Warning message: In lsfit(x, y) : 'X' matrix was collinear structure(foo$coefficients[foo$qr$pivot], names=names(foo$coefficients)) Intercept a b c 0.14857345 -0.07473099 0. 0.12835155 Is this reliable or there are cases when it may fail? Thanks, Vadim P.S. version _ platform i386-pc-mingw32 arch i386 os mingw32 system i386, mingw32 status major 2 minor 7.1 year 2008 month 06 day23 svn rev45970 language R version.string R version 2.7.1 (2008-06-23) Note: This email is for the confidential use of the named addressee(s) only and may contain proprietary, confidential or privileged information. If you are not the intended recipient, you are hereby notified that any review, dissemination or copying of this email is strictly prohibited, and to please notify the sender immediately and destroy this email and any attachments. Email transmission cannot be guaranteed to be secure or error-free. Jump Trading, therefore, does not make any guarantees as to the completeness or accuracy of this email or any attachments. This email is for informational purposes only and does not constitute a recommendation, offer, request or solicitation of any kind to buy, sell, subscribe, redeem or perform any type of transaction of a financial product. __ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
[Rd] weekly update 20081208
In Progress: * EURO DOLLAR data for trading Z* and vice versa * scripts for computing asset correlations w/ application to ED * improving R code for collecting stats accross dates and groups of data. Completed: * New signals for US Equity (based on PK alpha). Brandon will simulate and deploy if promising. Note: This email is for the confidential use of the named addressee(s) only and may contain proprietary, confidential or privileged information. If you are not the intended recipient, you are hereby notified that any review, dissemination or copying of this email is strictly prohibited, and to please notify the sender immediately and destroy this email and any attachments. Email transmission cannot be guaranteed to be secure or error-free. Jump Trading, therefore, does not make any guarantees as to the completeness or accuracy of this email or any attachments. This email is for informational purposes only and does not constitute a recommendation, offer, request or solicitation of any kind to buy, sell, subscribe, redeem or perform any type of transaction of a financial product. [[alternative HTML version deleted]] __ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
[Rd] Rscript thank you
Hi, I'd like to say thank you to the developers of Rscript. It is a nice tool that allows integration of R into multi-tool work flow and, in my experience so far, it does exactly what is expected of a utility program. Thank you very much! Vadim [[alternative HTML version deleted]] __ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
