Displaying 20 results from an estimated 100 matches similar to: "Autocorrelation using acf"
2011 Aug 24
1
Autocorrelation using library(tseries)
Dear R list
I am trying to understand the auto-correlation concept. Auto-correlation is the self-correlation of random variable X with a certain time lag of say t.
The article "http://www.mit.tut.fi/MIT-3010/luentokalvot/lk10-11/MDA_lecture16_11.pdf" (Page no. 9 and 10) gives the methodology as under.
Suppose you have a time series observations as say
X =
2013 Jan 03
2
simulation
Dear R users,
suppose we have a random walk such as:
v_t+1 = v_t + e_t+1
where e_t is a normal IID noise pocess with mean = m and standard deviation = sd and v_t is the fundamental value of a stock.
Now suppose I want a trading strategy to be:
x_t+1 = c(v_t – p_t)
where c is a costant.
I know, from the paper where this equations come from (Farmer and Joshi, The price dynamics of common
2011 Dec 01
1
Estimation of AR(1) Model with Markov Switching
Dear R users,
I have been trying to obtain the MLE of the following model
state 0: y_t = 2 + 0.5 * y_{t-1} + e_t
state 1: y_t = 0.5 + 0.9 * y_{t-1} + e_t
where e_t ~ iidN(0,1)
transition probability between states is 0.2
I've generated some fake data and tried to estimate the parameters using the
constrOptim() function but I can't get sensible answers using it. I've tried
using
2008 Sep 10
2
arima and xreg
Dear R-help-archive..
I am trying to figure out how to make arima prediction when I have a
process involving multivariate time series input, and one output time
series (output is to be predicted) .. (thus strictly speaking its an
ARMAX process). I know that the arima function of R was not designed
to handle multivariate analysis (there is dse but it doesnt handle
arma multivariate analysis, only
2009 Nov 02
1
AR Simulation with non-normal innovations - Correct
Dear Users,
I would like to simulate an AR(1) (y_t=ct1+y_t-1+e_t) model in R where the innovations are supposed to follow a t-GARCH(1,1) proccess.
By t-GARCH I want to mean that:
e_t=n_t*sqrt(h_t) and
h_t=ct2+a*(e_t)^2+b*h_t-1.
where n_t is a random variable with t-Student distribution.
If someone could give some guidelines, I can going developing the model.
I did it in matlab, but the loops
2007 May 08
2
statistics/correlation question NOT R question
This is not an R question but if anyone can help me, it's much
appreciated.
Suppose I have a series ( stationary ) y_t and a series x_t ( stationary
)and x_t has variance sigma^2_x and epsilon is normal
(0, sigma^2_epsilon )
and the two series have the relation
y_t = Beta*x_t + epsilon
My question is if there are particular values that sigma^2_x and
sigma^2_epsilon have to take in
2011 Aug 23
4
Correlation discrepancy
Dear R list, I have one very elementary question regrading correlation between two variables.
x = c(44,46,46,47,45,43,45,44)
y = c(44,43,41,41,46,48,44,43)
> cov(x, y)
[1] -2.428571
However, if I try to calculate the covariance using the formula as
covariance = sum((x-mean(x))*(y-mean(y)))/8 # no of of paired obs. = 8
or
covariance = sum(x*y)/8-(mean(x)*mean(y))
gives
2011 Mar 29
3
Reversing order of vector
Dear R helpers
Suppose I have a vector as
vect1 = as.character(c("ABC", "XYZ", "LMN", "DEF"))
> vect1
[1] "ABC" "XYZ" "LMN" "DEF"
I want to reverse the order of this vector as
vect2 = c("DEF", "LMN", "XYZ", "ABC")
Kindly guide
Regards
Vincy
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2010 Oct 27
4
One silly question about "tapply output"
Dear R helpers
I have a data which gives Month-wise and Rating-wise Rates. So the input file is something like
month rating rate
January AAA 9.04
February AAA 9.07
..........................................
..........................................
Decemeber AAA 8.97
January BBB 11.15
February
2011 Mar 09
3
Rearranging the data
Dear R helpers,
xx = data.frame(country = c("USA", "UK", "Canada"), x = c(10, 50, 20), y = c(40, 80, 35), z = c(70, 62, 10))
> xx
country x y z
1 USA 10 40 70
2
UK 50 80 62
3 Canada 20 35 10
I need to arrange this as a new data.frame as follows -
country type values
USA
2011 Jan 25
4
Subtracting elements of data.frame
Dear R helpers
I have a dataframe as
df = data.frame(x = c(1, 14, 3, 21, 11), y = c(102, 500, 40, 101, 189))
> df
x y
1 1 102
2 14 500
3 3 40
4 21 101
5 11 189
# Actually I am having dataframe having multiple columns. I am just giving an example.
I need to subtract all the rows of df by the first row of df i.e. I need to subtract each element of 'x' column by 1. Likewise I
2010 Dec 09
4
Sequence generation in a table
Dear R helpers
I have following input
f = c(257, 520, 110). I need to generate a decreasing sequence (decreasing by 100) which will give me an input (in a tabular form) like
257, 157, 57
520, 420, 320, 220, 120, 20
110, 10
I tried the following R code
f = c(257, 520, 110)
yy = matrix(data = NA, nrow = 3, ncol = 6)
for (i in 1:3)
{
value = NULL
for (j in 1 : 6)
{
2011 Mar 16
2
One to One Matching multiple vectors
Dear R helpers
Suppose,
x = c(0, 1, 2, 3)
y = c("A", "B", "C", "D")
z = c(1, 3)
For given values of z, I need to the values of y. So I should get "B" and "D".
I tried doing
y[x][z] but it gives
> y[x][z]
[1] "A" "C"
Kindly guide.
Regards
Vincy
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2011 May 30
2
Value of 'pi'
Dear R helpers,
I have one basic doubt about the value of pi. In school, we have learned that
pi = 22/7 (which is = 3.142857). However, if I type pi in R, I get pi = 3.141593. So which value of pi should be considered?
Regards
Vincy
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2011 Sep 14
2
Question regarding dnorm()
Hi,
I have one basic doubt. Suppose X ~ N(50,10).
I need to calculate Probability X = 50.
dnorm(50, 50, 10) gives me
[1] 0.03989423
My understanding is (which is bit statistical or may be mathematical) on a continuous scale, Probability of the type P(X = .....) are nothing but 1/Infinity i.e. = 0. So as per my understanding P(X = 50) should be 0, but even excel also gives 0.03989422. Obviously
2012 May 22
3
What's wrong with MEAN?
Dear R helpers,
I have recently installed R version 2.15.0
I just wanted to calculate
mean(16, 18)
Surprisingly I got answer as
> mean(16, 18)
[1] 16
> mean(18, 16)
[1] 18
> mean(14, 11, 17, 9, 5, 18)
[1] 14
So instead of calculating simple Arithmetic average, mean command is generating first element as average. I restarted the machine, changed the machine, but still the
2010 Aug 23
1
Fitting a regression model with with ARMA error
Hi,
I want to fit a regression model with one independent variable. The error
part should be fitted an ARMA process.
For example,
y_t = a + b*x_t + e_t where e_t is modelled as an ARMA process.
Please let me know how do I do this in R. What code should I use?
TIA
Aditya
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2007 Mar 05
1
Heteroskedastic Time Series
Hi R-helpers,
I'm new to time series modelling, but my requirement seems to fall just
outside the capabilities of the arima function in R. I'd like to fit an
ARMA model where the variance of the disturbances is a function of some
exogenous variable. So something like:
Y_t = a_0 + a_1 * Y_(t-1) +...+ a_p * Y_(t-p) + b_1 * e_(t-1) +...+ b_q *
e_(t-q) + e_t,
where
e_t ~ N(0, sigma^2_t),
2008 Sep 10
0
FW: RE: arima and xreg
hi: you should probably send below to R-Sig-Finance because there are
some econometrics people over there who could also possibly give you
a good answer and may not see this email ? Also, there's package called
mar ( I think that's the name ) that may do what you want ?
Finally, I don't know how to do it but I think there are ways of
converting a multivariate arima into the
2010 Mar 11
1
VAR with contemporaneous effects
Hi,
I would like to estimate a VAR of the form:
Ay_t = By_t-1 + Cy_t-2 + ... + Dx_t + e_t
Where A is a non-diagonal matrix of coefficients, B and C are matricies of
coefficients and D is a matrix of coefficients for the exogenous variables.
I don't think the package {vars} can do this because I want to include
contemporaneous cross-variable impacts.
So I want y1_t to affect y2_t and I