Displaying 20 results from an estimated 100 matches similar to: "Filtering out a data.frame"
2010 Jun 04
5
R Newbie, please help!
Hello Everyone,
I just started a new job & it requires heavy use of R to analyze datasets.
I have a data.table that looks like this. It is sorted by ID & Date, there
are about 150 different IDs & the dataset spans 3 million rows. The main
columns of concern are ID, date, and totret. What I need to do is to derive
daily returns for each ID from totret, which is simply totret at time
2010 Jun 09
3
Extracting Elements By Date
Dear R Gurus,
Thanks for any help in advance!
Date.frame: Returns.names
X id ticker date_ adjClose totret RankStk
258060 258060 13645T10 CP 2001-06-29 18.125 1877.758
My data frame is in the above format. I would like to filter by period, per
id (every 125 days) each consisting of 250 days, I.e. 1-250, 126-375, etc.
One important thing to note is that not all
2010 Nov 25
6
help: program efficiency
hey guys,
I am working on a function to make a duplicated value unique. For example,
the original vector would be like : a = c(2,1,1,3,3,3,4)
I'll like to transform it into:
a.nodup = 2, 1.01, 1.02, 3.01, 3.02, 3.03, 4
basically, find the duplicates and assign a unique value by adding a small
amount and keep it in order.
I come up with the following codes, but it runs slow if t is large. Is
2010 Jun 07
3
Subsetting subsets of data.frames
Hey Everyone,
I have been stumped by this all day.
Basically, I have a data.frame of multiple columns. Of concern are "id" &
"date"
For some reason, oftentimes there are duplicates of data with the same date.
I would like to remove the duplicates per different id (removing duplicate
dates for the entire data.frame would leave nothing since different id's all
have
2006 Jan 27
1
"Conditional" match?
I have two datasets, big and small.
s_date<-c(?2005-12-02?, ?2005-12-01?,
?2004-11-02?,?2002-10-05?,?2000-12-15?)
s_id<-c(?a?,?a?,?b?,?c?,?d?)
b_date<- c(?2005-12-31?, ?2005-12-31?,
?2004-12-31?,?2002-10-05?,?2001-10-31?,?1999-12-31?)
b_id<-c(?a?,?b?,?c?,?d?,?e?,?c?)
small<-data.frame(date_=as.Date(s_date),id=s_id)
big<-data.frame(date_=as.Date(b_date),id=b_id)
For each row
2006 Jan 03
2
For loop gets exponentially slower as dataset gets larger...
I am running R 2.1.1 in a Microsoft Windows XP environment.
I have a matrix with three vectors (“columns”) and ~2 million “rows”. The three vectors are date_, id, and price. The data is ordered (sorted) by code and date_.
(The matrix contains daily prices for several thousand stocks, and has ~2 million “rows”. If a stock did not trade on a particular date, its price is set to “NA”)
2011 Mar 13
1
problem with looping formula through table
Dear useRs,
I am stuck with a piece of code and hope you could give me some pointers.
My aim is to calculate the lm-regression coefficients of individual stocks against an index. I am interested in both the coefficient and the pval. While I could do this manually for a select hand full, I hope to scale this up say for 30+ stocks (DAX-30, FTSE-100 etc.) to eventually have a matrix of coefficients
2005 Oct 11
6
adding 1 month to a date
Within an R dataset, I have a date field called “date_”. (The dates are in the format “YYYY-MM-DD”, e.g. “1995-12-01”.)
How can I add or subtract “1 month” from this date, to get “1996-01-01” or “ “1995-11-01”.
---------------------------------
[[alternative HTML version deleted]]
2012 Nov 28
2
data frame: adding columns from data and file title
Data processing?
I have a large number of csv files from animal tracks that look like this:
Date_ Time_ Speed
Course Type_ Distance
30/03/2012 11:15:05 108
121 -2
2011 May 15
4
DCC-GARCH model
Hello,
I have a few questions concerning the DCC-GARCH model and its programming in
R.
So here is what I want to do:
I take quotes of two indices - S&P500 and DJ. And the aim is to estimate
coefficients of the DCC-GARCH model for them. This is how I do it:
library(tseries)
p1 = get.hist.quote(instrument = "^gspc",start = "2005-01-07",end =
2008 Mar 15
1
feeding merge.zoo a vector containing the names of zoo objects?
Hi, the snippet of code below works, but I would like to know how to feed the
function merge.zoo the contents of
CADstocknames rather than having to hard code it into the merge.zoo command.
I think I must be missing something simple, but I cannot for the life of me
figure it out. Thanks in advance for any enlightenment offered.
library(zoo)
CADstocknames <-
2011 Jan 29
1
Basic Help with Zoo objects and trading days
All,
I have been just recently working with zoo objects for trading systems.
Can someone please help with these basic questions?
Given a daily time series downloaded using get.hist.quote() from the tseries
package, ie......
startDate= as.Date("2000-01-01")
endDate= as.Date("2011-01-29")
frequency= 'd'
s= get.hist.quote('IWF', start= startDate, end=
2010 Jun 10
3
Retrieving the 2 row of "dist" computations
Dear R Gurus,
As you probably know, dist calculates the distance between every two rows of
data. What I am interested in is the actual two rows that have the least
distance between them, rather than the numerical value of the distance
itself.
For example, If the minimum distance in the following sample run is d[14],
which is .3826119, and the rows are 4 & 6. I need to find a generic way to
2011 May 12
2
DCC-GARCH model and AR(1)-GARCH(1,1) regression model
Hello,
I have a rather complex problem... I will have to explain everything in
detail because I cannot solve it by myself...i just ran out of ideas. So
here is what I want to do:
I take quotes of two indices - S&P500 and DJ. And my first aim is to
estimate coefficients of the DCC-GARCH model for them. This is how I do it:
library(tseries)
p1 = get.hist.quote(instrument =
2006 Jan 13
0
Controller part of in-place editing
I''m doing some incremental improvements on scaffolding, and want to add
in-place editing to an admin section. I think I may have the view part
working right (at least, the editor pops up as expected) with this in my
view:
###
<% for link in @links %>
<tr>
<td> <div id="<%= ''url'' + link.id.to_s -%>"><%= link.url
2017 Jul 30
4
Kalman filter for a time series
I found an example at
http://www.bearcave.com/finance/random_r_hacks/kalman_smooth.html shown
below. But it seems the structSSM function has been removed from KFAS
library so it won't run. Does anyone know how to fix the code so that it
runs?
library(KFAS)
library(tseries)
library(timeSeries)
library(zoo)
library(quantmod)
getDailyPrices = function( tickerSym, startDate, endDate )
{
2010 Dec 02
1
Downloading quote data from yahoo finance
Hi R users,
Thanks in advance.
I am using R 2.12.0 on Windows XP.
May I request you to assist me in the following please.
1. I am getting error while downloading quote data from yahoo finance.
The example code is below (taken from tseries help):
library(tseries)
con <- url("http://quote.yahoo.com")
if(!inherits(try(open(con), silent = TRUE), "try-error")) {
2011 May 10
0
DCC-GARCH model and AR(1)-GARCH(1, 1) regression model - help needed..
Hello,
I have a rather complex problem... I will have to explain everything in
detail because I cannot solve it by myself...i just ran out of ideas. So
here is what I want to do:
I take quotes of two indices - S&P500 and DJ. And my first aim is to
estimate coefficients of the DCC-GARCH model for them. This is how I do it:
library(tseries)
p1 = get.hist.quote(instrument =
2017 Jul 30
0
Kalman filter for a time series
> structSSM
Is no longer part of KFAS. All you needed to do was:
library(KFAS)
?KFAS
and you would have seen that if you went to the index. A structural state space model is now built up from its components, much like in LM. Look at;
?SSModel
-Roy
> On Jul 29, 2017, at 9:26 PM, Staff <rbertematti at gmail.com> wrote:
>
> I found an example at
>
2012 Mar 10
1
Generating abnormal returns in R
Hello
This is my first post on this forum and I hope someone can help me out.
I have a datafile (weeklyR) with returns of +- 100 companies.
I acquired this computing the following code:
library("tseries");
tickers = c("GSPC" , "BP" , "TOT" , "ENI.MI" , "VOW.BE" , "CS.PA" ,
"DAI.DE" , "ALV.DE" ,