[R] using acf() for multiple columns

[Henrique Dallazuanna]

Try this:

A <- matrix(rnorm(1500),nrow=500)
do.call(cbind, lapply(apply(A, 2, acf, lag.max = 10), "[[", "acf"))

On Thu, Aug 7, 2008 at 5:11 AM, rcoder <mpdotbook at gmail.com> wrote:
>
> Hi Gary,
>
> Thanks for your reply. This works fine. Is there any way to send the ACF
> data to a matrix, so I could analyse the data in excel for e.g.?
>
> Thanks,
>
> rcoder
>
>
>
>
>
>
>
>
>
>
>
>
> Ling, Gary (Electronic Trading) wrote:
>>
>> Hi, here is one possible solution ...
>> -gary
>>
>> ### example ###
>>
>> # create a 500x3 multi-ts
>> A <- matrix(rnorm(1500),nrow=500)
>>
>> # misc. graphical setting
>> par(mfrow=c(ncol(A),1))
>>
>> # then our friend -- lapply(split(...))
>> lapply(split(A,col(A)), acf)
>> #Or
>> lapply(split(A,col(A)), function(ts) acf(ts, lag.max=10))
>>
>>
>>
>>
>>
>> -----Original Message-----
>> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
>> On Behalf Of rcoder
>> Sent: Wednesday, August 06, 2008 4:13 PM
>> To: r-help at r-project.org
>> Subject: [R] using acf() for multiple columns
>>
>>
>>
>> Hi everyone,
>>
>> I'm trying to use the acf() function to calculate the autocorrelation of
>> each column in a matrix. The trouble is that I can only seem to get the
>> function to work if I extract the data in the column into a separate
>> matrix
>> and then apply the acf() function to this column.
>>
>> I have something like this: acf(mat,lag.max=10,na.action=na.pass)
>>
>> ...but I would really like to apply the function to 'mat' where 'mat' is
>> a
>> matrix as opposed to a vector. The function actually doesn't return an
>> acf
>> coefficient, but instead plots the data. So, in addition to handling
>> matrices with multiple columns, would anyone know how to coerce the
>> function
>> to output the underlying data?
>>
>> Finally, when working with a matrix, is there a way I can specify how
>> many
>> plots I can display after the function executes? I managed to generate a
>> multiple plot when I was experimenting, but the titles suggested the acf
>> was
>> calculated between adjacent columns in the matrix, which is something I
>> was
>> puzzled about.
>>
>> Thanks,
>>
>> rcoder
>> --
>> View this message in context:
>> http://www.nabble.com/using-acf%28%29-for-multiple-columns-tp18858672p18
>> 858672.html
>> Sent from the R help mailing list archive at Nabble.com.
>>
>> ______________________________________________
>> R-help at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>> --------------------------------------------------------
>>
>> This message w/attachments (message) may be privileged, confidential or
>> proprietary, and if you are not an intended recipient, please notify the
>> sender, do not use or share it and delete it. Unless specifically
>> indicated, this message is not an offer to sell or a solicitation of any
>> investment products or other financial product or service, an official
>> confirmation of any transaction, or an official statement of Merrill
>> Lynch. Subject to applicable law, Merrill Lynch may monitor, review and
>> retain e-communications (EC) traveling through its networks/systems. The
>> laws of the country of each sender/recipient may impact the handling of
>> EC, and EC may be archived, supervised and produced in countries other
>> than the country in which you are located. This message cannot be
>> guaranteed to be secure or error-free. This message is subject to terms
>> available at the following link:
>> http://www.ml.com/e-communications_terms/. By messaging with Merrill Lynch
>> you consent to the foregoing.
>>
>> ______________________________________________
>> R-help at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>>
>>
>
> --
> View this message in context: http://www.nabble.com/using-acf%28%29-for-multiple-columns-tp18858672p18865946.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>



-- 
Henrique Dallazuanna
Curitiba-Paraná-Brasil
25° 25' 40" S 49° 16' 22" O