[R] t-test on multiple time series

[Ben Bolker]

  [redirected from R-devel: this really belongs on R-help]

I have two sets of time-series that I imported from Excel using RODBC
and placed in

"securities" and "factors".

What I need to do is generate t-scores for each security-factor pair.

I tried the following:

     t1 <- t.test(securities[,3:42], factors[,2:41], var.equal=TRUE)


   ANSWER:
If securities and factors are both data frames then something like

m1 <- mapply(t.test,securities[3:42],factors[2:41],SIMPLIFY=FALSE,
     MoreArgs=list(var.equal=TRUE))

(note the lack of commas in the square brackets -- this extracts
the columns you want as sublists, although it might work with
commas as well, haven't tried it)  will give you a list of t-test
results.  If all you want is the t-statistic, something like

sapply(m1,"[[","statistic")

should do it.

   Poke around in the documentation (?mapply, ?sapply, etc.) to
see why this all works.

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