[R-SIG-Finance] Range intersections

R. Michael Weylandt michael.weylandt at gmail.com
Sat Jul 27 04:02:26 CEST 2013


On Fri, Jul 26, 2013 at 6:22 PM, Mark Knecht <markknecht at gmail.com> wrote:
> For the sake of asking here assume I have 5 models that attempt to
> predict a pair of future values like tomorrow's high & low. The
> predictions are placed in a matrix with the low prediction in column 1
> and the high prediction in column 2. _IF_ there is an intersection of
> all 5 predictions then I can test for that using the simple equation
> in Range1. However if there is a prediction that's a complete outlier
> as is Pred2[4,] then the simple equation fails and says the high is
> less than the low.
>
> Are there any R packages that automatically handle simple intersection
> problems like this? My real goals include things like probability
> distributions across the ranges, but for now I'm just looking for
> what's out there?
>

http://cran.r-project.org/web/packages/intervals/index.html
http://cran.r-project.org/web/packages/sets/index.html

would probably be the place to start.

Cheers,
MW



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