On Nov 30, 2009, at 11:20 AM, Trafim wrote:
Sorry, maybe I confused everybody with what I want.
I have time process X_k, and corresponding returns process R_k
I am interesting in f(r|x), which I can find knowing f(r,x) and
f(x). I know
the latter I need the first.
How can I apploximate this f(r,x) in the such way that later I can
find
f(X=x,R=r) not for the values from X_k, R_k timeseries, but for some
predefined grid values.
I'm not very current on time series analysis. My hunch (from what
little I ever knew) is that you are looking for some sort of cross-
correlation or "transfer function result. Try from the R console:
RSiteSearch('"cross correlation" or "transfer function"')
And also see the Financial and Time Series CRAN Task Views which will
both turn up highly placed on the obvious Google searches (maybe even
together as I just observed).
--
David
I looked at the kde2d but it allows only the square matrix + I think
from
this matrix I can only get values f(x,r) in the pairs from (X_k,
R_k) but
not the other I want.
Thanks a lot for any help and suggestions.
On Mon, Nov 30, 2009 at 5:09 PM, Trafim <rdapam...@gmail.com> wrote:
Also what if the grid matrix is not squared? How can I then find this
kernel density matrix/
Thanks a lot.
On Mon, Nov 30, 2009 at 4:56 PM, Trafim <rdapam...@gmail.com> wrote:
You are right.
I brought this example just to see how to use its with two time
series. In
reality I have price process and returns, and I need conditional
density.
Will highly appreciate your help.
I found function kde2d but cannot understand how to call for the
values of
the matrix.
On Mon, Nov 30, 2009 at 4:48 PM, David Winsemius <dwinsem...@comcast.net
>wrote:
On Nov 30, 2009, at 9:30 AM, Trafim wrote:
Unfortunately, it doesn't work.
Can you, please, help me with it?
In order to support the notion of a 2 dimensional distribution,
you
need a function that depends on ... 2 dimensions. All you have at
the moment
are two different one-dimensional functions.
What is you goal in this effort?
--
David.
Thanks a lot.
On Mon, Nov 30, 2009 at 2:53 PM, Trafim <rdapam...@gmail.com>
wrote:
Seems that I found it - kde2d
On Mon, Nov 30, 2009 at 2:36 PM, Trafim <rdapam...@gmail.com>
wrote:
Hi everybody,
I am looking for the possibility in R to estimate joint
density, just
for
example:
x <- seq(1,40,1)
y <- 2*x+1+5*rnorm(length(x))
y1 <- x^3+.5*rnorm(length(x))
Is there a way to approximate the density function s.t. I will
later
be
able to calculate f(Y=y, Y1=y1)
Thanks a lot
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______________________________________________
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______________________________________________
R-help@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.
David Winsemius, MD
Heritage Laboratories
West Hartford, CT
______________________________________________
R-help@r-project.org mailing list
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
