search for: mavg

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2004 Dec 10
1
Porting optimisation setup from Excel Solver to R
Hi all, I am currently optimising a small portfolio I have created as a part of my research project in Excel. I am unable to find the appropriate package to port this into R. My problem set up is as follows Minimise ABS(Sum(Xi-Xi')+10*Sum(XiMi)/Mavg) Subject to: 0 <= Xi <= 0.05 ABS(Sum(Xi)) = 0.2 where Mi - Market Cap of Stock i Xi - Initial weight of Stock i Xi' - New weight of Stock i Mavg = Average weighted market cap of portfolio. My portfolio has a long as well as a short side, therefore the ABS. The minimisation function is...
2011 Sep 20
0
Problems using predict from GAM model averaging (MuMIn)
...s(x6,bs="tp",k=3)+x7,data=dat, family="gaussian") I am trying to follow the example given in the help for "predict.averaging": I can calculate the top models etc. without problem: dd<-dredge(gamp) top.models <- get.models(dd, subset=cumsum(weight) <= .95) mavg<-model.avg(top.models) # get averaged coefficients I then calculate means of all the data: newdata <- as.data.frame(lapply(lapply(dat[1:6], mean), rep, 27)) And use the helper function to get my variable of interest at regular intervals: # helper function nseq <- function(x, len=le...
2014 Jul 28
0
lattice, latticeExtra: Adding moving averages to double y plot
...% c("stuff1"), ] stuff12_3data <- mydata[(mydata$Type) %in% c("stuff2", "stuff3"), ] # make moving averages function using zoo and rollmean: library(zoo) library(plyr) f <- function(d) { require(zoo) data.frame(Year = d$Year[5:length(d$Year)], mavg = rollmean(d$Value, 5)) } # Apply the function to each group as well as both data frames: madfStuff1 <- ddply(stuff1data, "Type", f) madfStuff2_3 <- ddply(stuff12_3data, "Type", f) # Some styles: myStripStyle <- function(which.panel, factor.levels, ...) { panel.rect...