Mark Leeds <mleeds at mlp.com> wrote (to S-News):> does anyone know the R equivalent of the SPlus rowVars function ?
Andy Liaw <andy_liaw at merck.com> replied:> More seriously, I seem to recall David Brahms at one time had created an R
> package with these dimensional summary statistics, using C code. (And I
> pointed him to the `two-pass' algorithm for variance.)
Here are the functions that didn't make it into R's base package, which
should
be very similar to the S-Plus functions of the same names. The
"twopass"
argument determines whether Andy's two-pass algorithm (Chan Golub &
LeVegue) is
used (it's slower but more accurate). In real life I set the
"twopass" default
to FALSE, because in finance noise is always bigger than signal.
I am cc'ing to R-help, as this is really an R question.
--
-- David Brahm (brahm at alum.mit.edu)
colVars <- function(x, na.rm=FALSE, dims=1, unbiased=TRUE, SumSquares=FALSE,
twopass=TRUE) {
if (SumSquares) return(colSums(x^2, na.rm, dims))
N <- colSums(!is.na(x), FALSE, dims)
Nm1 <- if (unbiased) N-1 else N
if (twopass) {x <- if (dims==length(dim(x))) x - mean(x, na.rm=na.rm) else
sweep(x, (dims+1):length(dim(x)), colMeans(x,na.rm,dims))}
(colSums(x^2, na.rm, dims) - colSums(x, na.rm, dims)^2/N) / Nm1
}
rowVars <- function(x, na.rm=FALSE, dims=1, unbiased=TRUE, SumSquares=FALSE,
twopass=TRUE) {
if (SumSquares) return(rowSums(x^2, na.rm, dims))
N <- rowSums(!is.na(x), FALSE, dims)
Nm1 <- if (unbiased) N-1 else N
if (twopass) {x <- if (dims==0) x - mean(x, na.rm=na.rm) else
sweep(x, 1:dims, rowMeans(x,na.rm,dims))}
(rowSums(x^2, na.rm, dims) - rowSums(x, na.rm, dims)^2/N) / Nm1
}
colStdevs <- function(x, ...) sqrt(colVars(x, ...))
rowStdevs <- function(x, ...) sqrt(rowVars(x, ...))