Displaying 3 results from an estimated 3 matches for "levequ".
Did you mean:
leveque
2002 Jan 07
0
New package: colSums
...;m probably exacerbating roundoff error when
mu >> sigma. I personally don't worry because in finance, mu (return) is
never >> sigma (risk) :-). The S-Plus documentation for colVars claims they
do something fancy with the "two-pass method described in Chan, Golub, and
LeVeque (1983)" that I don't know anything about.
- I convert integers, logicals, and complex immediately to reals, which is
probably inefficient. Brian Ripley's version seems to do a better job.
- S-Plus does not have "rowStdevs" for reasons unknown, since it is simply
defin...
2011 Sep 15
2
cumVar and cumSkew
Hi there,
I need to do the same thing as cumsum but with the variance and skewness. I
have tried to do a loop for like this:
var.value <- vector(mode = "numeric", length = length(daily))
for (i in (1:length(daily))) {
var.value[i] <- var(daily[1:i])
}
But because my dataset is so huge, I run out of memory.....
Any ideas?!?!
Much appreciate
2002 Aug 14
3
t-test via matrix operations
I need to calculate a large number of t statistics, and would like to do so via matrix operations. So far I have figured out a way to calculate the mean of each row of the matrix:
d <- matrix(runif(100000,1,10), 1000, 10) # some test data
s <- rep(1,ncol(d)) # a sum vector to use for matrix multiplication
means <- (d%*%s)/ncol(d)
This is at least 1 order of magnitude faster than