Hi everyone, I'm trying to use the acf() function to calculate the autocorrelation of each column in a matrix. The trouble is that I can only seem to get the function to work if I extract the data in the column into a separate matrix and then apply the acf() function to this column. I have something like this: acf(mat,lag.max=10,na.action=na.pass) ...but I would really like to apply the function to 'mat' where 'mat' is a matrix as opposed to a vector. The function actually doesn't return an acf coefficient, but instead plots the data. So, in addition to handling matrices with multiple columns, would anyone know how to coerce the function to output the underlying data? Finally, when working with a matrix, is there a way I can specify how many plots I can display after the function executes? I managed to generate a multiple plot when I was experimenting, but the titles suggested the acf was calculated between adjacent columns in the matrix, which is something I was puzzled about. Thanks, rcoder -- View this message in context: http://www.nabble.com/using-acf%28%29-for-multiple-columns-tp18858672p18858672.html Sent from the R help mailing list archive at Nabble.com.
Ling, Gary (Electronic Trading)
2008-Aug-06 21:14 UTC
[R] using acf() for multiple columns
Hi, here is one possible solution ... -gary ### example ### # create a 500x3 multi-ts A <- matrix(rnorm(1500),nrow=500) # misc. graphical setting par(mfrow=c(ncol(A),1)) # then our friend -- lapply(split(...)) lapply(split(A,col(A)), acf) #Or lapply(split(A,col(A)), function(ts) acf(ts, lag.max=10)) -----Original Message----- From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of rcoder Sent: Wednesday, August 06, 2008 4:13 PM To: r-help at r-project.org Subject: [R] using acf() for multiple columns Hi everyone, I'm trying to use the acf() function to calculate the autocorrelation of each column in a matrix. The trouble is that I can only seem to get the function to work if I extract the data in the column into a separate matrix and then apply the acf() function to this column. I have something like this: acf(mat,lag.max=10,na.action=na.pass) ...but I would really like to apply the function to 'mat' where 'mat' is a matrix as opposed to a vector. The function actually doesn't return an acf coefficient, but instead plots the data. So, in addition to handling matrices with multiple columns, would anyone know how to coerce the function to output the underlying data? Finally, when working with a matrix, is there a way I can specify how many plots I can display after the function executes? I managed to generate a multiple plot when I was experimenting, but the titles suggested the acf was calculated between adjacent columns in the matrix, which is something I was puzzled about. Thanks, rcoder -- View this message in context: http://www.nabble.com/using-acf%28%29-for-multiple-columns-tp18858672p18 858672.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. -------------------------------------------------------- This message w/attachments (message) may be privileged, confidential or proprietary, and if you are not an intended recipient, please notify the sender, do not use or share it and delete it. Unless specifically indicated, this message is not an offer to sell or a solicitation of any investment products or other financial product or service, an official confirmation of any transaction, or an official statement of Merrill Lynch. Subject to applicable law, Merrill Lynch may monitor, review and retain e-communications (EC) traveling through its networks/systems. The laws of the country of each sender/recipient may impact the handling of EC, and EC may be archived, supervised and produced in countries other than the country in which you are located. This message cannot be guaranteed to be secure or error-free. This message is subject to terms available at the following link: http://www.ml.com/e-communications_terms/. By messaging with Merrill Lynch you consent to the foregoing.