1. rollapply is for creating zoo objects from zoo objects --
not for creating lists from zoo objects. 2. The
subscripting is wrong. 3. Its possible that you need a different
representation for out but that depends on what you want to
do with it. At any rate try this and note that there is no
zoo processing involved:
library(zoo)
size.june <- structure(c(NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, 20.554,
23.87,
25.62, 13.104, 28.185, 22.802, 30.033, 62.975, NA, 9.8, 13.79,
17.5, 6.49, 15.14, 12.23, 14.66, 18.38, NA, 45.92, 47.34, 45.41,
36.08, 44.44, 55, 59.4, 35.42, NA, NA, NA, NA, NA, NA, NA, NA,
NA, NA, 55.4, 58.6, 49, 34, 59.43, 84.7, 87.23, 80.49, NA, 9.047,
30.2, 44.1, 56.7, 57.33, 58.17, 104.043, 98.322, 7.728, 28.476,
22.89, 20.54, 2.262, 7.514, 5.434, 4.55, 7.02, NA, 17.87, 21.51,
15.93, 11.41, 23.69, 33.2, 39.94, 42.51), .Dim = c(9L, 9L), .Dimnames = list(
NULL, c("V2", "V3", "V4", "V5",
"V6", "V7", "V8", "V9", "V10"
)), index = structure(c(6755, 7120, 7485, 7849, 8216, 8581,
8946, 9311, 9676), class = "Date"), class = "zoo")
size.portfolio <- function(x) {
x <- na.omit(x)
big.size <- x[x > median(x)]
big <- names(big.size)
small <- setdiff(names(x), big)
small.size <- x[small]
list(num.of.firms = length(x), big = big, small = small,
big.size = big.size, small.size = small.size)
}
out <- apply(size.jun, 1, size.portfolio)
On Nov 30, 2007 5:27 AM, ??? <picnic101 at gmail.com>
wrote:> Dear R users.
>
> I have zoo object "size_june" containing market-capital values:
>
> > dim(size_june) # market-cap data of 625 firms for 20 years
> [1] 20 625
> > class(size_june)
> [1] "zoo"
>
> > size_june # colnames = "size.firmcode"
>
> size.34020 size.4710 size.11050 size.10660 size.9540 size.8060
> size.16160 size.8080 size.9280
> 1988-06-30 NA NA NA NA NA
> NA NA 7.728 NA
> 1989-06-30 NA 20.554 9.80 45.92 NA 55.40
> 9.047 28.476 17.87
> 1990-06-30 NA 23.870 13.79 47.34 NA 58.60
> 30.200 22.890 21.51
> 1991-06-29 NA 25.620 17.50 45.41 NA 49.00
> 44.100 20.540 15.93
> 1992-06-30 NA 13.104 6.49 36.08 NA 34.00
> 56.700 2.262 11.41
> 1993-06-30 NA 28.185 15.14 44.44 NA 59.43
> 57.330 7.514 23.69
> 1994-06-30 NA 22.802 12.23 55.00 NA 84.70
> 58.170 5.434 33.20
> 1995-06-30 NA 30.033 14.66 59.40 NA 87.23
> 104.043 4.550 39.94
> 1996-06-29 NA 62.975 18.38 35.42 NA 80.49
> 98.322 7.020 42.51
> ........
> ........
> (many many lines)
>
> I wrote a small function to group 625 firms into big firms and small firms:
>
> > size.portfolio
> function(data.row){
> data.row <- data.row[,!is.na(data.row)]
> big <- colnames(data.row[,data.row > median(coredata(data.row))]) #
names
> of big firms
> small <- colnames(data.row)[!(colnames(data.row) %in% big)] # names of
> small firms
> big.size <- data.row[,big]
> small.size <- data.row[,small]
> out <- list(num.of.firms = length(data.row), big = big, small = small,
> big.size = big.size, small.size = small.size)
> }
>
> I want to apply the function on size_june, which hopefully gives me the
> portfolio groups (big and small) every June. But the "rollapply"
complains
> as below
>
> > rollapply(size_june, width=1, size.portfolio, by.column=F)
> error message about : data.row[, !is.na(data.row)] : wrong dimension
>
> So I end up using the for-loop, which produces the outcome I wanted.
> Good! No problem! But a little uneasy about using for-loop.
>
> > out <- list(list())
> > for(j in 1:length(time(size_june)))
> out[[j]] = size.portfolio(size_june[j,])
>
> Can anyone help me with fancy codes using "apply" thing?
> Thanks in advance.
>
> [[alternative HTML version deleted]]
>
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