[R] t-test on multiple time series

Ben Bolker bolker at zoo.ufl.edu
Mon Apr 3 20:36:16 CEST 2006

  [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)

If securities and factors are both data frames then something like

m1 <- mapply(t.test,securities[3:42],factors[2:41],SIMPLIFY=FALSE,

(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


should do it.

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

620B Bartram Hall                            bolker at zoo.ufl.edu
Zoology Department, University of Florida    http://www.zoo.ufl.edu/bolker
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