[R] Question about apply()

[Peter Dalgaard]

Sergey Goriatchev wrote:
> Dear Peter,
> 
> I tried with the comma already, it did not work.

Ah, yes, sorry. The real issue is that you are trying to index twice,
both by apply(.,2,.)  and by z="TY1.lev" (the former loops over columns
and the latter selects one of them). So what func() sees is an
individual column, and you just can't index that any further, and in
particular not with "TY1.lev". Possibly, using just embed(x,2) will get
you somewhere, but as you've seen, there are simpler ways-

>> rets
>             TY1.lev SP1.lev GC1.lev CL1.lev
> 2000-01-03 66.60938  1702.7   453.7   18.34
> 2000-01-04 67.09375  1647.7   447.8   18.29
> 2000-01-05 66.40625  1649.4   446.2   17.65
> 2000-01-06 66.73438  1639.9   446.5   17.52
> 2000-01-07 67.10938  1696.4   447.0   16.96
> 2000-01-10 66.87500  1710.9   446.8   17.41
> 2000-01-11 66.09375  1690.2   448.5   18.51
> 2000-01-12 65.92188  1677.9   447.8   19.02
> 2000-01-13 66.54688  1694.4   449.2   19.43
> 2000-01-14 66.14062  1713.9   449.0   20.76
> 2000-01-17 66.14062  1713.9   449.0   20.76
> 2000-01-18 65.65625  1705.4   453.7   21.59
> 2000-01-19 65.87500  1708.4   454.4   22.28
> 2000-01-20 65.59375  1692.9   453.4   22.40
> 2000-01-21 65.51562  1689.6   453.8   22.63
> 2000-01-24 66.09375  1647.7   452.2   22.26
> 2000-01-25 66.01562  1654.5   450.7   22.71
> 2000-01-26 66.14062  1651.3   450.6   22.27
> 2000-01-27 66.10938  1645.7   451.4   21.75
> 2000-01-28 66.42188  1602.4   447.5   21.65
>> func <- function(x,z){
> +
> + a <- embed(x[,z, drop=FALSE], 2)[,1]/embed(x[,z, drop=FALSE], 2)[,2] - 1
> +
> + return(a)
> + }
>>  merge(rets, Bond.ret=zoo(apply(rets,2,func,z="TY1.lev"), order.by=time(rets)[-1]))
> Error in x[, z, drop = FALSE] : incorrect number of dimensions
> 
> 
> Nothing was wrong with your suggestion, except that I did not come up
> with it. :-)
> I've been using a lot of embed and apply(, 1, FUNC) functions lately
> and out of inertia I tried the same.
> 
> I specify a new variable (with suffix ."ret") within merge() function.
> 
> Kind Regards,
> Sergey
> 
> 
> 
> On Wed, Feb 11, 2009 at 13:47, Peter Dalgaard <P.Dalgaard at biostat.ku.dk> wrote:
>> Sergey Goriatchev 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.
>> The immediate problem is that you are missing a comma in x[, z, drop =
>> FALSE]. But what was wrong with
>>
>> cbind(data,data/lag(data,-1)-1, suffixes=c("","r"))
>>
>> (except that it adds a "." to the orginal names, I see no way of NOT
>> adding a suffix?)
>>
>> --
>>   O__  ---- Peter Dalgaard             Øster Farimagsgade 5, Entr.B
>>  c/ /'_ --- Dept. of Biostatistics     PO Box 2099, 1014 Cph. K
>>  (*) \(*) -- University of Copenhagen   Denmark      Ph:  (+45) 35327918
>> ~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk)              FAX: (+45) 35327907
>>
>>
> 
> 
> 


-- 
   O__  ---- Peter Dalgaard             Øster Farimagsgade 5, Entr.B
  c/ /'_ --- Dept. of Biostatistics     PO Box 2099, 1014 Cph. K
 (*) \(*) -- University of Copenhagen   Denmark      Ph:  (+45) 35327918
~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk)              FAX: (+45) 35327907