[R] indexing question
Leeds, Mark (IED)
Mark.Leeds at morganstanley.com
Mon Nov 13 21:06:26 CET 2006
I have the following set of indices, call it idx, that correspond to the
indices of a vector say temp.
[1] 31 36 41 61 66 71 91 96 101 121 126 131 151
156 161 181 186 191 211 216 221 241 246 251 271 276 281
301 306 311 331 336 341 361 366
[36] 371 391 396 401 421 426 431 451 456 461 481 486 491
511 516 521 541 546 551 571 576 581 601 606 611 631 636
641 661 666 671 691 696 701 721
[71] 726 731 751 756 761 781 786 791 811 816 821 841 846
851 871 876 881 901 906 911 931 936 941 961 966 971 991
996 1001 1021 1026 1031 1051 1056 1061
[106] 1081 1086 1091 1111 1116 1121 1141 1146 1151 1171 1176 1181 1201
1206 1211 1231 1236 1241 1261 1266 1271 1291 1296 1301 1321 1326 1331
1351 1356 1361 1381 1386 1391 1411 1416
[141] 1421
I want to calculate temp[36] - temp[31] and temp[41] - temp[36]
Similarly, temp[66] - temp[61] and temp[71] - temp[66]
.
.
.
.
Similarly temp[1416]-temp[1411]
temp[1421] - temp[1416]
I'm doing this because the above subractions represent pairs of returns
and the correlations between them wil be calculated eventually.
In other words, eventually I will have
X_36_31 ( i.e : temp[36] - temp[31] )
X_66-61
X_96-91
.
.
.
.
.
.
.
X_1411-1416
as one vector and
Y_41-36
Y_71-66
Y_101-96
.
.
.
.
.
Y_1416_1421
as another vector.
and will calculate the correlation between the two vectors in order to
get one number.
The point is I am really only using the indices 31, 61, 91 etc as
anchor's so a regular diff(temp[idx]) won't work because it will diff
all
the elements that are next to each other ? This is a weird problem. I'm
still thinking about it. I'm hoping to figure it out before someone
sends me something but I won't mind so much if I get an external
solution first. I have no pride.
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