[R] log returns (was: Re: help with table partition)

[Gabor Grothendieck]

Please use a descriptive subject and not tag onto a prior thread
for new topics.

Assuming the first row is time 1 and the second row is time 2 and
so on try:

diff(log(P))


On 6/15/06, Wong, Kim <kwong at nymex.com> wrote:
>
> Hi, thank you all for the help.
>
> The split function works very well.
>
> I have an additional question.  If I have a matrix of prices (row = 30,
> col = 2) in matrix P
>
> P:
>
> 30 40
> 31.5 42
> ....
> ....
> ....
>
> 32 43
>
> What is the quickest way to get a new matrix, where each entry is the
> ln(Pt/Pt-1)?
>
> I have no prob doing this using a loop, but that might not be most
> efficient if my table is huge.  Moreover, I've read the apply/lapply
> functions, but I could not get the right parameters to use.
>
> Thank you all for help.
> K.
>
>
> -----Original Message-----
> From: Petr Pikal [mailto:petr.pikal at precheza.cz]
> Sent: Thursday, June 15, 2006 10:35 AM
> To: Wong, Kim
> Cc: r-help at stat.math.ethz.ch
> Subject: Re: [R] help with table partition
>
> Hi
>
> maybe ?split and ?t is what you want
>
> mat<-matrix(rnorm(1000), 100,10)
>
> mat.s<-split(data.frame(mat), rep(1:5, each=20))
> #splits mat to list with 5 eqal submatrices
>
> lapply(mat.s,t)
> # transpose matrices in list
>
> gives you a list of transposed tables, which is probably better than
> separate tables. Just change rep(1:5,each=20) to rep (1:170,
> each=366).
>
> or
> a quicker one without data frame
>
> mat <- matrix(rnorm(62220*73), 62220,73)
>
> dim(mat) <- c(366,73,170)
> mat.i <- array(0,dim=c(73,366,170))
> for (i in 1:170) mat[ , , i] <- t(mat[ , , i])
>
> HTH
> Petr
>
>
>
>
>
> On 15 Jun 2006 at 9:38, Wong, Kim wrote:
>
> Date sent:              Thu, 15 Jun 2006 09:38:29 -0400
> From:                   "Wong, Kim" <kwong at nymex.com>
> To:                     <r-help at stat.math.ethz.ch>
> Subject:                [R] help with table partition
>
> > Hi,
> >
> >
> >
> > I have a test_table where the dim is 62220 by 73 (row by col)
> >
> >
> >
> > I would like to partition the rows into 170 equal parts (170 tables
> > where each is of dim 366 by 73), and rearrange them horizontally. The
> > source codes I have:
> >
> >
> >
> > for (i in 1:170) {
> >
> >             c = cbind(c,test_table[(367*i+1):(367*(i+1)),2:73]);
> >
> >       }
> >
> >
> >
> > Unfortunately, using for loop and cbind for a table of this size
> > causes long running time.  What is the most efficient way to get the
> > table that I want?
> >
> >
> >
> > Thanks for any help.
> >
> > K.
> >
> >
> >
> >
> > -----------------------------------------
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>
> Petr Pikal
> petr.pikal at precheza.cz
>
>
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