[R] Ifelse leading to inconsistent result
I have used ifelse in count variables to count the number of times in a
simulation the values of a vector of logprice fall within mutually exclusive
ranges. However, there is a double count in the result i.e. i am getting output
indicating values falling in mutually exclusive ranges. Here is the code and
result
R script
niter = 1e5 # number of iterations is 10^5
CountLoss = rep(0,niter)
CountProf = rep (0,niter)
set.seed(2009) # enables reproducibility of result if script run again
for (i in 1:niter)
{
r = rnorm(100,mean=.05/253,
sd=.23/sqrt(253)) # generate 100 random normal numbers
logPrice = log(1e6) + cumsum(r) #vector of 100 days log prices
maxlogP = max(logPrice) # max price over next 100 days
minlogP = min(logPrice)
CountLoss[i] - ifelse (minlogP log(95), 1, ifelse (maxlogP log
(100), 0, 1))
CountProf[i] - ifelse (maxlogP log (110),0,1)
}
sum(CountLoss)
mean(CountLoss) # fraction of times out of niter that stock is sold for a loss
in a 100 day period
sum(CountProf)
mean(CountProf) # fraction of times out of niter that stock is sold for a
profit in a 100 day period
Output
sum(CountLoss)
[1] 64246
mean(CountLoss) # fraction of times out of niter that stock is sold for a
loss in a 100 day period
[1] 0.64246
sum(CountProf)
[1] 51857
mean(CountProf) # fraction of times out of niter that stock is sold for a
profit in a 100 day period
[1] 0.51857
CountLoss and CountProf should sum to less than the number of interations. When
I troubleshoot by reducing the number of iterations and that size of the
logprice, I can't reproduce the contradicion.
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Re: [R] Ifelse leading to inconsistent result
On 26/06/2013 11:40 AM, Neville O'Reilly wrote:
I have used ifelse in count variables to count the number of times in a
simulation the values of a vector of logprice fall within mutually exclusive
ranges. However, there is a double count in the result i.e. i am getting output
indicating values falling in mutually exclusive ranges. Here is the code and
result
R script
niter = 1e5 # number of iterations is 10^5
CountLoss = rep(0,niter)
CountProf = rep (0,niter)
set.seed(2009) # enables reproducibility of result if script run again
for (i in 1:niter)
{
r = rnorm(100,mean=.05/253,
sd=.23/sqrt(253)) # generate 100 random normal numbers
logPrice = log(1e6) + cumsum(r) #vector of 100 days log prices
maxlogP = max(logPrice) # max price over next 100 days
minlogP = min(logPrice)
CountLoss[i] - ifelse (minlogP log(95), 1, ifelse (maxlogP log
(100), 0, 1))
CountProf[i] - ifelse (maxlogP log (110),0,1)
}
sum(CountLoss)
mean(CountLoss) # fraction of times out of niter that stock is sold for a loss
in a 100 day period
sum(CountProf)
mean(CountProf) # fraction of times out of niter that stock is sold for a
profit in a 100 day period
Output
sum(CountLoss)
[1] 64246
mean(CountLoss) # fraction of times out of niter that stock is sold for a
loss in a 100 day period
[1] 0.64246
sum(CountProf)
[1] 51857
mean(CountProf) # fraction of times out of niter that stock is sold for a
profit in a 100 day period
[1] 0.51857
CountLoss and CountProf should sum to less than the number of interations. When
I troubleshoot by reducing the number of iterations and that size of the
logprice, I can't reproduce the contradicion.
I don't see a contradiction. Both CountLoss and CountProf are less than
niter. The logic of your test doesn't imply that sum(CountLoss) +
sum(CountProf) should be less than niter; e.g. a case where minlogP is
less than log(95) and maxlogP log(110) would be counted in both.
Duncan Murdoch
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Re: [R] Ifelse leading to inconsistent result
On Jun 26, 2013, at 17:40 , Neville O'Reilly wrote:
I have used ifelse in count variables to count the number of times in a
simulation the values of a vector of logprice fall within mutually exclusive
ranges. However, there is a double count in the result i.e. i am getting
output indicating values falling in mutually exclusive ranges. Here is the
code and result
R script
Don't use ifelse, it just confuses the logic.
As far as I can tell, the code is equivalent (except for integer conversion) to
CountLoss[i] - (minlogP log(95)) | (maxlogP = log (100))
CountProf[i] - (maxlogP = log (110))
and that doesn't look mutually exclusive to me.
niter = 1e5 # number of iterations is 10^5
CountLoss = rep(0,niter)
CountProf = rep (0,niter)
set.seed(2009) # enables reproducibility of result if script run again
for (i in 1:niter)
{
r = rnorm(100,mean=.05/253,
sd=.23/sqrt(253)) # generate 100 random normal numbers
logPrice = log(1e6) + cumsum(r) #vector of 100 days log prices
maxlogP = max(logPrice) # max price over next 100 days
minlogP = min(logPrice)
CountLoss[i] - ifelse (minlogP log(95), 1, ifelse (maxlogP log
(100), 0, 1))
CountProf[i] - ifelse (maxlogP log (110),0,1)
}
sum(CountLoss)
mean(CountLoss) # fraction of times out of niter that stock is sold for a
loss in a 100 day period
sum(CountProf)
mean(CountProf) # fraction of times out of niter that stock is sold for a
profit in a 100 day period
Output
sum(CountLoss)
[1] 64246
mean(CountLoss) # fraction of times out of niter that stock is sold for a
loss in a 100 day period
[1] 0.64246
sum(CountProf)
[1] 51857
mean(CountProf) # fraction of times out of niter that stock is sold for a
profit in a 100 day period
[1] 0.51857
CountLoss and CountProf should sum to less than the number of interations.
When I troubleshoot by reducing the number of iterations and that size of the
logprice, I can't reproduce the contradicion.
__
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.
--
Peter Dalgaard, Professor
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Email: pd@cbs.dk Priv: pda...@gmail.com
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
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Re: [R] Ifelse leading to inconsistent result
I don't see that you have set up mutually exclusive ranges. If we
modify your code so save the maxlogP and minlogP values:
niter = 1e5 # number of iterations is 10^5
CountLoss = rep(0,niter)
CountProf = rep (0,niter)
maxlogP - rep(0, ninter)
minlogP - rep(0, ninter)
set.seed(2009) # enables reproducibility of result if script run
again
for (i in 1:niter)
{
r = rnorm(100,mean=.05/253,
sd=.23/sqrt(253)) # generate 100 random normal numbers
logPrice = log(1e6) + cumsum(r) #vector of 100 days log prices
maxlogP[i] = max(logPrice) # max price over next 100 days
minlogP[i] = min(logPrice)
CountLoss[i] - ifelse (minlogP[i] log(95), 1, ifelse
(maxlogP[i] log (100), 0, 1))
CountProf[i] - ifelse (maxlogP[i] log (110),0,1)
}
both - which(CountLoss+CountProf1)
length(both)
# 18484
head(both)
# [1] 1 5 9 12 15 25
ifelse (minlogP[1] log(95), 1, ifelse (maxlogP[1] log
(100), 0, 1))
# [1] 1
ifelse (maxlogP[1] log(110),0,1)
# [1] 1
exp(maxlogP[1])
# [1] 1204589
exp(minlogP[1])
# [1] 932747.5
Your first simulation meets both criteria along 18483 others!
-
David L Carlson
Associate Professor of Anthropology
Texas AM University
College Station, TX 77840-4352
-Original Message-
From: r-help-boun...@r-project.org
[mailto:r-help-boun...@r-project.org] On Behalf Of Neville O'Reilly
Sent: Wednesday, June 26, 2013 10:41 AM
To: r-help@r-project.org
Subject: [R] Ifelse leading to inconsistent result
I have used ifelse in count variables to count the number of times
in a simulation the values of a vector of logprice fall within
mutually exclusive ranges. However, there is a double count in the
result i.e. i am getting output indicating values falling in
mutually exclusive ranges. Here is the code and result
R script
niter = 1e5 # number of iterations is 10^5
CountLoss = rep(0,niter)
CountProf = rep (0,niter)
set.seed(2009) # enables reproducibility of result if script run
again
for (i in 1:niter)
{
r = rnorm(100,mean=.05/253,
sd=.23/sqrt(253)) # generate 100 random normal numbers
logPrice = log(1e6) + cumsum(r) #vector of 100 days log prices
maxlogP = max(logPrice) # max price over next 100 days
minlogP = min(logPrice)
CountLoss[i] - ifelse (minlogP log(95), 1, ifelse (maxlogP
log (100), 0, 1))
CountProf[i] - ifelse (maxlogP log (110),0,1)
}
sum(CountLoss)
mean(CountLoss) # fraction of times out of niter that stock is sold
for a loss in a 100 day period
sum(CountProf)
mean(CountProf) # fraction of times out of niter that stock is sold
for a profit in a 100 day period
Output
sum(CountLoss)
[1] 64246
mean(CountLoss) # fraction of times out of niter that stock is
sold for a loss in a 100 day period
[1] 0.64246
sum(CountProf)
[1] 51857
mean(CountProf) # fraction of times out of niter that stock is
sold for a profit in a 100 day period
[1] 0.51857
CountLoss and CountProf should sum to less than the number of
interations. When I troubleshoot by reducing the number of
iterations and that size of the logprice, I can't reproduce the
contradicion.
__
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.
__
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.
Re: [R] Ifelse leading to inconsistent result
You are right, I inadvertently deleted part of the script - so I ended up with
non-mutually exclusive regions. My apologies
Neville O'Reilly, Ph.D
Associate Director, Financial Statistics Risk Management,
Rm 479 Hill Center, Rutgers University, 110 Freylinghuysen Rd.,
Piscataway, NJ 08854.
848-445-7669
http://fsrm.rutgers.edu/
- Original Message -
From: David Carlson dcarl...@tamu.edu
To: Neville O'Reilly norei...@stat.rutgers.edu, r-help@r-project.org
Sent: Wednesday, June 26, 2013 1:15:06 PM
Subject: RE: [R] Ifelse leading to inconsistent result
I don't see that you have set up mutually exclusive ranges. If we
modify your code so save the maxlogP and minlogP values:
niter = 1e5 # number of iterations is 10^5
CountLoss = rep(0,niter)
CountProf = rep (0,niter)
maxlogP - rep(0, ninter)
minlogP - rep(0, ninter)
set.seed(2009) # enables reproducibility of result if script run
again
for (i in 1:niter)
{
r = rnorm(100,mean=.05/253,
sd=.23/sqrt(253)) # generate 100 random normal numbers
logPrice = log(1e6) + cumsum(r) #vector of 100 days log prices
maxlogP[i] = max(logPrice) # max price over next 100 days
minlogP[i] = min(logPrice)
CountLoss[i] - ifelse (minlogP[i] log(95), 1, ifelse
(maxlogP[i] log (100), 0, 1))
CountProf[i] - ifelse (maxlogP[i] log (110),0,1)
}
both - which(CountLoss+CountProf1)
length(both)
# 18484
head(both)
# [1] 1 5 9 12 15 25
ifelse (minlogP[1] log(95), 1, ifelse (maxlogP[1] log
(100), 0, 1))
# [1] 1
ifelse (maxlogP[1] log(110),0,1)
# [1] 1
exp(maxlogP[1])
# [1] 1204589
exp(minlogP[1])
# [1] 932747.5
Your first simulation meets both criteria along 18483 others!
-
David L Carlson
Associate Professor of Anthropology
Texas AM University
College Station, TX 77840-4352
-Original Message-
From: r-help-boun...@r-project.org
[mailto:r-help-boun...@r-project.org] On Behalf Of Neville O'Reilly
Sent: Wednesday, June 26, 2013 10:41 AM
To: r-help@r-project.org
Subject: [R] Ifelse leading to inconsistent result
I have used ifelse in count variables to count the number of times
in a simulation the values of a vector of logprice fall within
mutually exclusive ranges. However, there is a double count in the
result i.e. i am getting output indicating values falling in
mutually exclusive ranges. Here is the code and result
R script
niter = 1e5 # number of iterations is 10^5
CountLoss = rep(0,niter)
CountProf = rep (0,niter)
set.seed(2009) # enables reproducibility of result if script run
again
for (i in 1:niter)
{
r = rnorm(100,mean=.05/253,
sd=.23/sqrt(253)) # generate 100 random normal numbers
logPrice = log(1e6) + cumsum(r) #vector of 100 days log prices
maxlogP = max(logPrice) # max price over next 100 days
minlogP = min(logPrice)
CountLoss[i] - ifelse (minlogP log(95), 1, ifelse (maxlogP
log (100), 0, 1))
CountProf[i] - ifelse (maxlogP log (110),0,1)
}
sum(CountLoss)
mean(CountLoss) # fraction of times out of niter that stock is sold
for a loss in a 100 day period
sum(CountProf)
mean(CountProf) # fraction of times out of niter that stock is sold
for a profit in a 100 day period
Output
sum(CountLoss)
[1] 64246
mean(CountLoss) # fraction of times out of niter that stock is
sold for a loss in a 100 day period
[1] 0.64246
sum(CountProf)
[1] 51857
mean(CountProf) # fraction of times out of niter that stock is
sold for a profit in a 100 day period
[1] 0.51857
CountLoss and CountProf should sum to less than the number of
interations. When I troubleshoot by reducing the number of
iterations and that size of the logprice, I can't reproduce the
contradicion.
__
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.
__
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.
