Re: [R-SIG-Finance] Range intersections

2013-07-28 Thread Matthew Clegg
This reminds me of my grad school days. Many years ago, in a galaxy far, far away, I wrote a paper on a variation of this problem. Here is a function that I think will do what you have asked for: max_supported_interval - function (L, H) { # On input, L and H are equal length vectors

Re: [R-SIG-Finance] Range intersections

2013-07-27 Thread Enrico Schumann
On Sat, 27 Jul 2013, Mark Knecht markkne...@gmail.com writes: For the sake of asking here assume I have 5 models that attempt to predict a pair of future values like tomorrow's high low. The predictions are placed in a matrix with the low prediction in column 1 and the high prediction in

[R-SIG-Finance] Range intersections

2013-07-26 Thread Mark Knecht
For the sake of asking here assume I have 5 models that attempt to predict a pair of future values like tomorrow's high low. The predictions are placed in a matrix with the low prediction in column 1 and the high prediction in column 2. _IF_ there is an intersection of all 5 predictions then I

Re: [R-SIG-Finance] Range intersections

2013-07-26 Thread R. Michael Weylandt
On Fri, Jul 26, 2013 at 6:22 PM, Mark Knecht markkne...@gmail.com wrote: For the sake of asking here assume I have 5 models that attempt to predict a pair of future values like tomorrow's high low. The predictions are placed in a matrix with the low prediction in column 1 and the high