[R] R - Confidence Intervals
Christian Goelz
christian.goelz at gmx.de
Thu Oct 7 21:03:32 CEST 2010
Dear David,
Thank you for your prompt response.
I understand that this may seem like an simple problem to you, but I have never done this before, so please excuse the mistakes along the line!
May I revise the code according to your suggestion and, should I have further problems, ask you for your help again?
Many thanks!
Best regards
Christian
Sent from my wireless smartphone device
On 7 Oct 2010, at 20:50, David Winsemius <dwinsemius at comcast.net> wrote:
>
> On Oct 7, 2010, at 12:01 PM, Christian Goelz wrote:
>
>> Dear Sirs,
>>
>> I was hoping you can help me, I am quite desperate in finding a
>> solution for my problem! I have looked everywhere on the net and tried
>> hundreds of codes, but I am still not anywhere close to the solution.
>> I am quite new to R, so please excuse if this seems simple:
>>
>> I am trying to use R to analyse some stocks, but I can't get the
>> theoretical confidence interval (95%) for my sample:
>>
>> e.g. IBM:
>>
>> library('tseries')
>> data<-get.hist.quote(instrument="IBM", start="2000-01-01",
>> end="2010-10-04", quote=c("O","H","L","C","A","V"),
>> compression='d',provider="yahoo", retclass="zoo")
>> names(IBM)
>
> Problem 1: You name your data "data" and now you are referring to it by "IBM"
>>
>> I have defined the parameters as follows:
>>
>> Pt=IBM$Adj.Close
>
> Problem 2... there is no column named Adj.Close
>
>> r=diff(log(Pt))
>> l=length(Pt)
>> mu=mean(r)
>> t=2:l
>>
>> Given the formula for confidence intervals E(logPt)=logP0+μ*t
>> +1.96*sqrt(t)*s^2, I tried to define a formula in R:
>>
>> logP1=numeric()
>>> logP1[1]=log(Pt[1])
>>> logP1[2:l]=logP1[1]+cumsum(logP1+mu*t+c(-1.96,1.96)*sqrt(t)*sd(Pt))
>
> Is it really true that s^2 is well estimated by that cusum?
>
>>> P1=exp(logP1)
>
> I ask that because P1 (after correction of the errors noted above) "blows up" , i.e. increases to "Inf".
>>
>> However, although I don't receive an error message, I cannot show the
>> result!
>
> Did you type:
>
> P1 # ??? and then watch the stream of 2075 mostly Inf values?
>
> Really? I got all sorts of cascading errors.
> --
> David.
>
>
>>
>> Many thanks in advance for your assistance with this!
>>
>> Yours sincerely
>>
>> Christian
>
>
> --
> David Winsemius, MD
> West Hartford, CT
>
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