Dear all,
I have a list of correlation coefficient matrixes. Each matrix represents one
date.
For example
A[[1]]
A B C
A 1 0.2 0.3
B 0.2 1 0.4
C 0.3 0.4 1
A[[2]]
A B C
A 1 0.5 0.6
B 0.5 1 0.7
C 0.6 0.7 1
....
A[[n]]
I would like to calculate the mean of correlation coefficient from the whole
time series, i.e.
Average cor(A,B) = (A[[1]][2,1] + A[[2]] [2,1] + ... + A[[n]] [2,1])/n
Average cor(A,C) = (A[[1]][3,1] + A[[2]] [3,1] + ... + A[[n]] [3,1])/n
Average cor(B,C) = (A[[1]][3,2] + A[[2]] [3,2] + ... + A[[n]] [3,2])/n
Please note that some cells are NA; so I need to remove them when calculating
average.
How could I get this efficiently? Thank you
Best Regards,
Suphajak Ngamlak
Equity and Derivatives Trading
Phatra Securities Public Company Limited
Tel: (66)2-305-9179
Email: suphajak@phatrasecurities.com
[[alternative HTML version deleted]]
one way is the following: A <- replicate(10, cor(matrix(rnorm(30), 10, 3)), simplify = FALSE) triA <- sapply(A, function (m) m[upper.tri(m)]) rowMeans(triA, na.rm = TRUE) I hope it helps. Best, Dimitris On 11/9/2010 9:23 AM, Suphajak Ngamlak wrote:> Dear all, > > I have a list of correlation coefficient matrixes. Each matrix represents one date. > For example > > A[[1]] > > A B C > A 1 0.2 0.3 > B 0.2 1 0.4 > C 0.3 0.4 1 > > A[[2]] > > A B C > A 1 0.5 0.6 > B 0.5 1 0.7 > C 0.6 0.7 1 > > .... > > A[[n]] > > I would like to calculate the mean of correlation coefficient from the whole time series, i.e. > > Average cor(A,B) = (A[[1]][2,1] + A[[2]] [2,1] + ... + A[[n]] [2,1])/n > Average cor(A,C) = (A[[1]][3,1] + A[[2]] [3,1] + ... + A[[n]] [3,1])/n > Average cor(B,C) = (A[[1]][3,2] + A[[2]] [3,2] + ... + A[[n]] [3,2])/n > > Please note that some cells are NA; so I need to remove them when calculating average. > > How could I get this efficiently? Thank you > > > Best Regards, > Suphajak Ngamlak > Equity and Derivatives Trading > Phatra Securities Public Company Limited > Tel: (66)2-305-9179 > Email: suphajak at phatrasecurities.com > > > [[alternative HTML version deleted]] > > ______________________________________________ > 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. >-- Dimitris Rizopoulos Assistant Professor Department of Biostatistics Erasmus University Medical Center Address: PO Box 2040, 3000 CA Rotterdam, the Netherlands Tel: +31/(0)10/7043478 Fax: +31/(0)10/7043014 Web: http://www.erasmusmc.nl/biostatistiek/
You could use the "Reduce" function to get the sum of the matrices, then if there are no missing vales just divide by the number of matrices. If there are missing values then you would probably need to use Reduce again to count the number of non-missing values. Since all the matrices are the same dimensions you could also reformat the list into a 3 dimensional array and use the "apply" function to find the means. -- Gregory (Greg) L. Snow Ph.D. Statistical Data Center Intermountain Healthcare greg.snow at imail.org 801.408.8111> -----Original Message----- > From: r-help-bounces at r-project.org [mailto:r-help-bounces at r- > project.org] On Behalf Of Suphajak Ngamlak > Sent: Tuesday, November 09, 2010 1:24 AM > To: 'r-help at r-project.org' > Subject: [R] Calculate Mean from List > > Dear all, > > I have a list of correlation coefficient matrixes. Each matrix > represents one date. > For example > > A[[1]] > > A B C > A 1 0.2 0.3 > B 0.2 1 0.4 > C 0.3 0.4 1 > > A[[2]] > > A B C > A 1 0.5 0.6 > B 0.5 1 0.7 > C 0.6 0.7 1 > > .... > > A[[n]] > > I would like to calculate the mean of correlation coefficient from the > whole time series, i.e. > > Average cor(A,B) = (A[[1]][2,1] + A[[2]] [2,1] + ... + A[[n]] [2,1])/n > Average cor(A,C) = (A[[1]][3,1] + A[[2]] [3,1] + ... + A[[n]] [3,1])/n > Average cor(B,C) = (A[[1]][3,2] + A[[2]] [3,2] + ... + A[[n]] [3,2])/n > > Please note that some cells are NA; so I need to remove them when > calculating average. > > How could I get this efficiently? Thank you > > > Best Regards, > Suphajak Ngamlak > Equity and Derivatives Trading > Phatra Securities Public Company Limited > Tel: (66)2-305-9179 > Email: suphajak at phatrasecurities.com > > > [[alternative HTML version deleted]] > > ______________________________________________ > 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.