[R] Question about apply()
Gabor Grothendieck
ggrothendieck at gmail.com
Wed Feb 11 14:24:34 CET 2009
There is no zoo method for embed. embed is implicit in
rollapplly so its not normally needed in zoo and rollapply,
lag or diff would normally be used instead.
If you did want to use embed then unzoo data first but
that will lose the time index so add it back in later:
e <- embed(coredata(data),2)
dif <- zoo(e[, 1:4] / e[, 5:8] - 1, time(data)[-1])
cbind(data, dif)
On Wed, Feb 11, 2009 at 7:45 AM, Sergey Goriatchev <sergeyg at gmail.com> wrote:
> Dear Gabor,
>
> Thank you as always. I will follow your suggestion.
> But, I still want to know what I do wrong in the above code (with
> embed(), apply(), and merge() functions). Why do I get that error
> message and how can I rewrite the code to make it run.
>
> Best Regards,
> Sergey
>
> On Wed, Feb 11, 2009 at 13:34, Gabor Grothendieck
> <ggrothendieck at gmail.com> wrote:
>> See ?diff.zoo
>>
>> dif <- diff(data, arithmetic = FALSE) - 1
>> cbind(data, dif)
>>
>> On Wed, Feb 11, 2009 at 6:21 AM, Sergey Goriatchev <sergeyg at gmail.com> wrote:
>>> Hello, everyone!
>>>
>>> Assume you have this data:
>>> data <- structure(c(66.609375, 67.09375, 66.40625, 66.734375, 67.109375,
>>> 66.875, 66.09375, 65.921875, 66.546875, 66.140625, 66.140625,
>>> 65.65625, 65.875, 65.59375, 65.515625, 66.09375, 66.015625, 66.140625,
>>> 66.109375, 66.421875, 1702.7, 1647.7, 1649.4, 1639.9, 1696.4,
>>> 1710.9, 1690.2, 1677.9, 1694.4, 1713.9, 1713.9, 1705.4, 1708.4,
>>> 1692.9, 1689.6, 1647.7, 1654.5, 1651.3, 1645.7, 1602.4, 453.7,
>>> 447.8, 446.2, 446.5, 447, 446.8, 448.5, 447.8, 449.2, 449, 449,
>>> 453.7, 454.4, 453.4, 453.8, 452.2, 450.7, 450.6, 451.4, 447.5,
>>> 18.34, 18.29, 17.65, 17.52, 16.96, 17.41, 18.51, 19.02, 19.43,
>>> 20.76, 20.76, 21.59, 22.28, 22.4, 22.63, 22.26, 22.71, 22.27,
>>> 21.75, 21.65), .Dim = c(20L, 4L), .Dimnames = list(NULL, c("TY1.lev",
>>> "SP1.lev", "GC1.lev", "CL1.lev")), index = structure(c(10959,
>>> 10960, 10961, 10962, 10963, 10966, 10967, 10968, 10969, 10970,
>>> 10973, 10974, 10975, 10976, 10977, 10980, 10981, 10982, 10983,
>>> 10984), class = "Date"), class = "zoo")
>>>
>>> What I want to do is to calculate simple return on each column (return=P1/P0-1)
>>> and put it in new columns.
>>>
>>> I've tried like this:
>>>
>>> #convenience function
>>> func <- function(x,z){
>>> a <- embed(x[z, drop=FALSE], 2)[,1]/embed(x[z, drop=FALSE], 2)[,2] - 1
>>> return(a)
>>> }
>>>
>>> data <- merge(data, Bond.ret=zoo(apply(data, 2, func, z="TY1.lev"),
>>> order.by=time(data)[-1]))
>>>
>>> and I get this:
>>> Error in embed(x[z, drop = FALSE], 2) : wrong embedding dimension
>>>
>>> What am I doing wrong?
>>> (Somehow I cannot understand how to work with columns in apply(), with
>>> rows, that is apply(,1,FUN) I have no problem.
>>>
>>> Thank you for help,
>>> Sergey
>>>
>>> ______________________________________________
>>> 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.
>>>
>>
>
>
>
> --
> I'm not young enough to know everything. /Oscar Wilde
> Experience is one thing you can't get for nothing. /Oscar Wilde
> When you are finished changing, you're finished. /Benjamin Franklin
> Tell me and I forget, teach me and I remember, involve me and I learn.
> /Benjamin Franklin
> Luck is where preparation meets opportunity. /George Patten
>
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