Re: [R] Reading Data from mle into excel?
Greg that's it! Thank you thank you thank you So simple in the end? > From: greg.s...@imail.org > To: h_a_patie...@hotmail.com; r-help@r-project.org > Date: Tue, 31 May 2011 10:27:13 -0600 > Subject: RE: [R] Reading Data from mle into excel? > > I did not see any code above, but you could write a simple function that does > the mle fit (is this mle from the stats4 package?) then extracts the > information that you want and puts it into a vector, something like: > > out <- c( coef(fit), sqrt(diag(vcov(fit))), ll=logLik(fit) ) > > And returns the vector of the pieces that you want. Then you can use the > sapply function to run the fits and return a matrix with the coefficients, > etc. You can then use write.csv to create a csv file of the results that your > advisor can open in excel (or there are several ways to transfer the contents > of a matrix to excel). > > -- > Gregory (Greg) L. Snow Ph.D. > Statistical Data Center > Intermountain Healthcare > greg.s...@imail.org > 801.408.8111 > > > > -Original Message- > > From: r-help-boun...@r-project.org [mailto:r-help-bounces@r- > > project.org] On Behalf Of Bazman76 > > Sent: Tuesday, May 31, 2011 9:40 AM > > To: r-help@r-project.org > > Subject: Re: [R] Reading Data from mle into excel? > > > > > > Hi Greg, > > > > I have about 40 time series each of which I have to run a seperate MLE > > on. I will be experimenting with different starting values for the > > parameters etc, so some way to automate the process will be useful. > > I think I can just about do this part (if you see the code above) but > > as I can't do the second part I can't check it properly. > > > > The second part I simply want to take the results of all the MLE > > calculation: the parameter estimates, there standard errors and the > > actual value of the likilihood ratio so that I can compare them and > > present them to my supervisor. > > The last part must be done in excel as my supervisor has not been > > converted to R yet. > > > > Kind Regards > > > > Hugh > > > > > > > > > > Date: Tue, 31 May 2011 08:24:08 -0700 > > From: ml-node+3563453-1045326083-236...@n4.nabble.com > > To: h_a_patie...@hotmail.com > > Subject: Re: Reading Data from mle into excel? > > > > The sink function will write to a file what normally shows up on the > > screen after running some code. So while it is possible to use it to > > capture the output of the mle command and read the results into excel, > > I don't see anything useful that you could then do with it in excel. > > > > If you can tell us more about what your ultimate goal is, what you want > > to do with the results, then we can give better advice on either how to > > get the pieces you want into excel, or probably better, how do > > accomplish what you want in R without needing to involve excel at all. > > > > -- > > Gregory (Greg) L. Snow Ph.D. > > Statistical Data Center > > Intermountain Healthcare > > [hidden email] > > 801.408.8111 > > > > > > > > > -Original Message- > > > From: [hidden email] [mailto:r-help-bounces@r- > > > project.org] On Behalf Of Bazman76 > > > Sent: Tuesday, May 31, 2011 9:04 AM > > > To: [hidden email] > > > Subject: Re: [R] Reading Data from mle into excel? > > > > > > Can I use sink() to transfer the MLE results which are a S4 type > > object > > > to a > > > text file? > > > > > > Can someone show me how to do this? > > > > > > > > > -- > > > View this message in context: http://r.789695.n4.nabble.com/Reading- > > > Data-from-mle-into-excel-tp3545569p3563385.html > > > Sent from the R help mailing list archive at Nabble.com. > > > > > > __ > > > [hidden email] 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. > > __ > > [hidden email] 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. > > > > > > > > &g
Re: [R] Reading Data from mle into excel?
I did not see any code above, but you could write a simple function that does the mle fit (is this mle from the stats4 package?) then extracts the information that you want and puts it into a vector, something like: out <- c( coef(fit), sqrt(diag(vcov(fit))), ll=logLik(fit) ) And returns the vector of the pieces that you want. Then you can use the sapply function to run the fits and return a matrix with the coefficients, etc. You can then use write.csv to create a csv file of the results that your advisor can open in excel (or there are several ways to transfer the contents of a matrix to excel). -- Gregory (Greg) L. Snow Ph.D. Statistical Data Center Intermountain Healthcare greg.s...@imail.org 801.408.8111 > -Original Message- > From: r-help-boun...@r-project.org [mailto:r-help-bounces@r- > project.org] On Behalf Of Bazman76 > Sent: Tuesday, May 31, 2011 9:40 AM > To: r-help@r-project.org > Subject: Re: [R] Reading Data from mle into excel? > > > Hi Greg, > > I have about 40 time series each of which I have to run a seperate MLE > on. I will be experimenting with different starting values for the > parameters etc, so some way to automate the process will be useful. > I think I can just about do this part (if you see the code above) but > as I can't do the second part I can't check it properly. > > The second part I simply want to take the results of all the MLE > calculation: the parameter estimates, there standard errors and the > actual value of the likilihood ratio so that I can compare them and > present them to my supervisor. > The last part must be done in excel as my supervisor has not been > converted to R yet. > > Kind Regards > > Hugh > > > > > Date: Tue, 31 May 2011 08:24:08 -0700 > From: ml-node+3563453-1045326083-236...@n4.nabble.com > To: h_a_patie...@hotmail.com > Subject: Re: Reading Data from mle into excel? > > The sink function will write to a file what normally shows up on the > screen after running some code. So while it is possible to use it to > capture the output of the mle command and read the results into excel, > I don't see anything useful that you could then do with it in excel. > > If you can tell us more about what your ultimate goal is, what you want > to do with the results, then we can give better advice on either how to > get the pieces you want into excel, or probably better, how do > accomplish what you want in R without needing to involve excel at all. > > -- > Gregory (Greg) L. Snow Ph.D. > Statistical Data Center > Intermountain Healthcare > [hidden email] > 801.408.8111 > > > > > -Original Message----- > > From: [hidden email] [mailto:r-help-bounces@r- > > project.org] On Behalf Of Bazman76 > > Sent: Tuesday, May 31, 2011 9:04 AM > > To: [hidden email] > > Subject: Re: [R] Reading Data from mle into excel? > > > > Can I use sink() to transfer the MLE results which are a S4 type > object > > to a > > text file? > > > > Can someone show me how to do this? > > > > > > -- > > View this message in context: http://r.789695.n4.nabble.com/Reading- > > Data-from-mle-into-excel-tp3545569p3563385.html > > Sent from the R help mailing list archive at Nabble.com. > > > > __ > > [hidden email] 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. > __ > [hidden email] 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. > > > > > > > If you reply to this email, your message will be added to the > discussion below:http://r.789695.n4.nabble.com/Reading-Data-from-mle- > into-excel-tp3545569p3563453.html > To unsubscribe from Reading Data from mle into excel?, click here. > > > -- > View this message in context: http://r.789695.n4.nabble.com/Reading- > Data-from-mle-into-excel-tp3545569p3563495.html > Sent from the R help mailing list archive at Nabble.com. > [[alternative HTML version deleted]] > > __ > 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 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.
Re: [R] Reading Data from mle into excel?
Hi Greg, I have about 40 time series each of which I have to run a seperate MLE on. I will be experimenting with different starting values for the parameters etc, so some way to automate the process will be useful. I think I can just about do this part (if you see the code above) but as I can't do the second part I can't check it properly. The second part I simply want to take the results of all the MLE calculation: the parameter estimates, there standard errors and the actual value of the likilihood ratio so that I can compare them and present them to my supervisor. The last part must be done in excel as my supervisor has not been converted to R yet. Kind Regards Hugh Date: Tue, 31 May 2011 08:24:08 -0700 From: ml-node+3563453-1045326083-236...@n4.nabble.com To: h_a_patie...@hotmail.com Subject: Re: Reading Data from mle into excel? The sink function will write to a file what normally shows up on the screen after running some code. So while it is possible to use it to capture the output of the mle command and read the results into excel, I don't see anything useful that you could then do with it in excel. If you can tell us more about what your ultimate goal is, what you want to do with the results, then we can give better advice on either how to get the pieces you want into excel, or probably better, how do accomplish what you want in R without needing to involve excel at all. -- Gregory (Greg) L. Snow Ph.D. Statistical Data Center Intermountain Healthcare [hidden email] 801.408.8111 > -Original Message- > From: [hidden email] [mailto:r-help-bounces@r- > project.org] On Behalf Of Bazman76 > Sent: Tuesday, May 31, 2011 9:04 AM > To: [hidden email] > Subject: Re: [R] Reading Data from mle into excel? > > Can I use sink() to transfer the MLE results which are a S4 type object > to a > text file? > > Can someone show me how to do this? > > > -- > View this message in context: http://r.789695.n4.nabble.com/Reading- > Data-from-mle-into-excel-tp3545569p3563385.html > Sent from the R help mailing list archive at Nabble.com. > > __ > [hidden email] 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. __ [hidden email] 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. If you reply to this email, your message will be added to the discussion below:http://r.789695.n4.nabble.com/Reading-Data-from-mle-into-excel-tp3545569p3563453.html To unsubscribe from Reading Data from mle into excel?, click here. -- View this message in context: http://r.789695.n4.nabble.com/Reading-Data-from-mle-into-excel-tp3545569p3563495.html Sent from the R help mailing list archive at Nabble.com. [[alternative HTML version deleted]] __ 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.
Re: [R] Reading Data from mle into excel?
The sink function will write to a file what normally shows up on the screen after running some code. So while it is possible to use it to capture the output of the mle command and read the results into excel, I don't see anything useful that you could then do with it in excel. If you can tell us more about what your ultimate goal is, what you want to do with the results, then we can give better advice on either how to get the pieces you want into excel, or probably better, how do accomplish what you want in R without needing to involve excel at all. -- Gregory (Greg) L. Snow Ph.D. Statistical Data Center Intermountain Healthcare greg.s...@imail.org 801.408.8111 > -Original Message- > From: r-help-boun...@r-project.org [mailto:r-help-bounces@r- > project.org] On Behalf Of Bazman76 > Sent: Tuesday, May 31, 2011 9:04 AM > To: r-help@r-project.org > Subject: Re: [R] Reading Data from mle into excel? > > Can I use sink() to transfer the MLE results which are a S4 type object > to a > text file? > > Can someone show me how to do this? > > > -- > View this message in context: http://r.789695.n4.nabble.com/Reading- > Data-from-mle-into-excel-tp3545569p3563385.html > Sent from the R help mailing list archive at Nabble.com. > > __ > 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 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.
Re: [R] Reading Data from mle into excel?
Can I use sink() to transfer the MLE results which are a S4 type object to a text file? Can someone show me how to do this? -- View this message in context: http://r.789695.n4.nabble.com/Reading-Data-from-mle-into-excel-tp3545569p3563385.html Sent from the R help mailing list archive at Nabble.com. __ 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.
Re: [R] Reading Data from mle into excel?
thanks for all your help
I have taken a slightly different route but I think I am getting there
library(plyr)
#setwd("C:/Documents and Settings/Hugh/My Documents/PhD")
#files<-list.files("C:/Documents and Settings/Hugh/My
Documents/PhD/",pattern="Swaption Vols.csv")
#vols <- lapply(files, read.csv, header = TRUE)
vols=read.csv(file="C:/Documents and Settings/Hugh/My Documents/PhD/Swaption
vols.csv"
+ , header=TRUE, sep=",")
dcOU<-function(x,t,x0,theta,log=FALSE){
Ex<-theta[1]/theta[2]+(x0-theta[1]/theta[2])*exp(-theta[2]*t)
Vx<-theta[3]^2*(1-exp(-2*theta[2]*t))/(2*theta[2])
dnorm(x,mean=Ex,sd=sqrt(Vx),log=log)
}
OU.lik<-function(theta1,theta2,theta3){
n<-length(X)
dt<-deltat(X)
-sum(dcOU(X[2:n],dt,X[1:(n-1)],c(theta1,theta2,theta3),log=TRUE))
}
require(stats4)
require(sde)
nc=ncol(vols)
for(i in 2:nc){
X<-ts(vols[,i])
mle(OU.lik,start=list(theta1=1,theta2=1,theta3=1),
method="L-BFGS-B",lower=c(-Inf,-Inf,-Inf),upper=c(Inf,Inf,Inf))->fit
summary(fit)
}
right now the summary(fit) gives the summary results for the 53rd column so
the code is working correctly.
How can I save these summary results in an array or datatable on each loop?
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Re: [R] Reading Data from mle into excel?
I would read the datasets into a list first, something like this which will
make a list of dataframes:
filenames <- dir() # where only filenames you want to read in are in this
directory
dataframelist <- lapply(filenames, read.csv, header = TRUE, sep = ",")
You should be able to put the whole procedure, after reading in dataframes,
into one lapply perhaps, e.g.,
lapply(dataframelist, yourfunction)
where dataframelist is a list of dataframes, and yourfunction is a function
that does all the procedures for one dataset. The function 'yourfunction' will
be applied to each dataset in the list separately, then the results output into
a list.
Then, if the results from each dataset will have the same dimensions, you can
do something like ldply using package plyr
ldply(output, 'identity') # where 'output' is the output list of results from
the lapply call above
This will give you a data frame of all the results.
Scott Chamberlain
Rice University, EEB Dept.
On Monday, May 23, 2011 at 4:32 PM, Bazman76 wrote:
Hi there,
>
> I ran the following code:
>
> vols=read.csv(file="C:/Documents and Settings/Hugh/My Documents/PhD/Swaption
> vols.csv"
> , header=TRUE, sep=",")
> X<-ts(vols[,2])
> #X
>
>
> dcOU<-function(x,t,x0,theta,log=FALSE){
> Ex<-theta[1]/theta[2]+(x0-theta[1]/theta[2])*exp(-theta[2]*t)
> Vx<-theta[3]^2*(1-exp(-2*theta[2]*t))/(2*theta[2])
> dnorm(x,mean=Ex,sd=sqrt(Vx),log=log)
> }
> OU.lik<-function(theta1,theta2,theta3){
> n<-length(X)
> dt<-deltat(X)
> -sum(dcOU(X[2:n],dt,X[1:(n-1)],c(theta1,theta2,theta3),log=TRUE))
> }
>
> require(stats4)
> require(sde)
> set.seed(1)
> #X<-sde.sim(model="OU",theta=c(3,1,2),N=1,delta=1)
> mle(OU.lik,start=list(theta1=1,theta2=1,theta3=1),
> method="L-BFGS-B",lower=c(-Inf,-Inf,-Inf),upper=c(Inf,Inf,Inf))->fit
> summary(fit)
>
> #ex3.01 R
> prof<-profile(fit)
> par(mfrow=c(1,3))
> plot(prof)
> par(mfrow=c(1,1))
> vcov(fit)
>
> I run the code above and I get:
>
> > summary(fit)
> Maximum likelihood estimation
>
> Call:
> mle(minuslogl = OU.lik, start = list(theta1 = 1, theta2 = 1,
> theta3 = 1), method = "L-BFGS-B", lower = c(-Inf, -Inf, -Inf),
> upper = c(Inf, Inf, Inf))
>
> Coefficients:
> Estimate Std. Error
> theta1 0.03595581 0.013929892
> theta2 4.30910365 1.663781710
> theta3 0.02120220 0.004067477
>
> -2 log L: -5136.327
>
> I need to run the same analysis for 40 different time series.
>
> I want to be able to collate all the estimates of theta and the associated
> stadard errors and then transfer them into excel?
>
> Can someone please point me to some R code that will allow me to do this?
>
> Thanks
>
>
>
> --
> View this message in context:
> http://r.789695.n4.nabble.com/Reading-Data-from-mle-into-excel-tp3545569p3545569.html
> Sent from the R help mailing list archive at Nabble.com.
>
> __
> 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.
>
[[alternative HTML version deleted]]
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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] Reading Data from mle into excel?
Hi Scott,
Thanks for this.
Got some questions below:
Thanks
Hugh
Date: Mon, 23 May 2011 17:32:52 -0500
From: scttchamberla...@gmail.com
To: h_a_patie...@hotmail.com
CC: r-help@r-project.org
Subject: Re: [R] Reading Data from mle into excel?
I would read the datasets into a list first, something like this which will
make a list of dataframes:
filenames <- dir() # where only filenames you want to read in are in this
directory
dataframelist <- lapply(filenames, read.csv, header = TRUE, sep = ",")
OK I tried the code you suggest and I get:
filenames<-dir("C:/Documents and Settings/Hugh/My Documents/PhD/Swaption
vols.csv")
> dataframelist<-lapply(filenames, read.csv, header = TRUE, sep = ",")
>
> dataframelist
list()
> list
function (...) .Primitive("list")
Is this correct?
I only actually need one file, all the time series are stored in seperate
columns.
vols=read.csv(file="C:/Documents and Settings/Hugh/My Documents/PhD/Swaption
vols.csv"
, header=TRUE, sep=",")
X<-ts(vols[,2])
Can I still use this format?
You should be able to put the whole procedure, after reading in dataframes,
into one lapply perhaps, e.g.,
lapply(dataframelist, yourfunction)
as for my function the function mle involves calls to other functions?
dcOU<-function(x,t,x0,theta,log=FALSE){
Ex<-theta[1]/theta[2]+(x0-theta[1]/theta[2])*exp(-theta[2]*t)
Vx<-theta[3]^2*(1-exp(-2*theta[2]*t))/(2*theta[2])
dnorm(x,mean=Ex,sd=sqrt(Vx),log=log)
}
OU.lik<-function(theta1,theta2,theta3){
n<-length(X)
dt<-deltat(X)
-sum(dcOU(X[2:n],dt,X[1:(n-1)],c(theta1,theta2,theta3),log=TRUE))
}
require(stats4)
require(sde)
set.seed(1)
#X<-sde.sim(model="OU",theta=c(3,1,2),N=1,delta=1)
mle(OU.lik,start=list(theta1=1,theta2=1,theta3=1),
method="L-BFGS-B",lower=c(-Inf,-Inf,-Inf),upper=c(Inf,Inf,Inf))->fit
summary(fit)
Should I store each function is a seperate script?
If so how do I then make sure that they are available in the "workspace"?
Assuming that vols contains the dataframelist who would I call the mle function
using lapply like you showed?
where dataframelist is a list of dataframes, and yourfunction is a function
that does all the procedures for one dataset. The function 'yourfunction' will
be applied to each dataset in the list separately, then the results output into
a list.
Then, if the results from each dataset will have the same dimensions, you can
do something like ldply using package plyr
ldply(output, 'identity') # where 'output' is the output list of results from
the lapply call above
This will give you a data frame of all the results.
Scott Chamberlain
Rice University, EEB Dept.
On Monday, May 23, 2011 at 4:32 PM, Bazman76 wrote:
Hi there,
I ran the following code:
vols=read.csv(file="C:/Documents and Settings/Hugh/My Documents/PhD/Swaption
vols.csv"
, header=TRUE, sep=",")
X<-ts(vols[,2])
#X
dcOU<-function(x,t,x0,theta,log=FALSE){
Ex<-theta[1]/theta[2]+(x0-theta[1]/theta[2])*exp(-theta[2]*t)
Vx<-theta[3]^2*(1-exp(-2*theta[2]*t))/(2*theta[2])
dnorm(x,mean=Ex,sd=sqrt(Vx),log=log)
}
OU.lik<-function(theta1,theta2,theta3){
n<-length(X)
dt<-deltat(X)
-sum(dcOU(X[2:n],dt,X[1:(n-1)],c(theta1,theta2,theta3),log=TRUE))
}
require(stats4)
require(sde)
set.seed(1)
#X<-sde.sim(model="OU",theta=c(3,1,2),N=1,delta=1)
mle(OU.lik,start=list(theta1=1,theta2=1,theta3=1),
method="L-BFGS-B",lower=c(-Inf,-Inf,-Inf),upper=c(Inf,Inf,Inf))->fit
summary(fit)
#ex3.01 R
prof<-profile(fit)
par(mfrow=c(1,3))
plot(prof)
par(mfrow=c(1,1))
vcov(fit)
I run the code above and I get:
summary(fit)
Maximum likelihood estimation
Call:
mle(minuslogl = OU.lik, start = list(theta1 = 1, theta2 = 1,
theta3 = 1), method = "L-BFGS-B", lower = c(-Inf, -Inf, -Inf),
upper = c(Inf, Inf, Inf))
Coefficients:
Estimate Std. Error
theta1 0.03595581 0.013929892
theta2 4.30910365 1.663781710
theta3 0.02120220 0.004067477
-2 log L: -5136.327
I need to run the same analysis for 40 different time series.
I want to be able to collate all the estimates of theta and the associated
stadard errors and then transfer them into excel?
Can someone please point me to some R code that will allow me to do this?
Thanks
--
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[[alternative HTML version
Re: [R] Reading Data from mle into excel?
I think cognizance should be taken of fortune("very uneasy").
cheers,
Rolf Turner
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Re: [R] Reading Data from mle into excel?
Hi:
This isn't too hard to do. The strategy is basically this:
(1) Create a list of file names. (See ?list.files for some ideas)
(2) Read the data files from (1) into a list.
(3) Create a function to apply to each data frame in the list.
(4) Apply the function to each data frame.
(5) Extract the coefficients/output and put them into a new data frame or list.
Here's a really simple example, but it exemplifies the process. I
created five data frames and exported them to .csv files in my current
directory. The game is to create a vector of file names, use lapply()
to pass them into a list, create a function to extract the
coefficients from a linear regression model, and then use ldply() from
the plyr package to combine steps (4) and (5) above.
files <- paste('dat', 1:5, '.csv', sep = '')
# Code to create the output files in case you want to try out the example
# wf <- function(f)
# write.csv(data.frame(x1 = rnorm(10), x2 = rnorm(10), y = rnorm(10)),
# file = f, quote = FALSE, row.names = FALSE)
# lapply(files, wf)
library(plyr)
datalist <- lapply(files, read.csv, header = TRUE)
lfun <- function(d) coef(lm(y ~ x1 + x2, data = d))
ldply(datalist, lfun)
You should look at ?list.files to help create the file list you need.
You should then be able to use something similar to the code that
generates datalist to get the data frames into a single list.
Obviously, my function is a lot simpler than yours, but the principle
is that the function should work for any generic data object in your
list. I like the ldply() function for this simple example because it's
'one-stop shopping', but the base package alternative would be
something like
do.call(rbind, lapply(datalist, lfun))
The challenge in your problem is that you want to return a coefficient
matrix, which raises a new set of issues. If you use the do.call()
approach, it won't keep track of the corresponding data frame to which
the results pertain. ldply() won't work because the coefficient matrix
is not a data frame and if you coerce it to one, the row names
(variables) will disappear. One approach is to use llply() instead;
consider the following function and its application:
# This function returns a matrix of coefficients, standard errors,
# t-tests of significance and p-values rather than a vector
lfun2 <- function(d) summary(lm(y ~ ., data = d))['coefficients']
# returns a list rather than a data frame
llply(datalist, lfun2)
It's not hard to figure out how to write the results to one or more
files from there. You may want to adapt your function to get the
output you need.
HTH,
Dennis
On Mon, May 23, 2011 at 2:32 PM, Bazman76 wrote:
> Hi there,
>
> I ran the following code:
>
> vols=read.csv(file="C:/Documents and Settings/Hugh/My Documents/PhD/Swaption
> vols.csv"
> , header=TRUE, sep=",")
> X<-ts(vols[,2])
> #X
>
>
> dcOU<-function(x,t,x0,theta,log=FALSE){
> Ex<-theta[1]/theta[2]+(x0-theta[1]/theta[2])*exp(-theta[2]*t)
> Vx<-theta[3]^2*(1-exp(-2*theta[2]*t))/(2*theta[2])
> dnorm(x,mean=Ex,sd=sqrt(Vx),log=log)
> }
> OU.lik<-function(theta1,theta2,theta3){
> n<-length(X)
> dt<-deltat(X)
> -sum(dcOU(X[2:n],dt,X[1:(n-1)],c(theta1,theta2,theta3),log=TRUE))
> }
>
> require(stats4)
> require(sde)
> set.seed(1)
> #X<-sde.sim(model="OU",theta=c(3,1,2),N=1,delta=1)
> mle(OU.lik,start=list(theta1=1,theta2=1,theta3=1),
> method="L-BFGS-B",lower=c(-Inf,-Inf,-Inf),upper=c(Inf,Inf,Inf))->fit
> summary(fit)
>
> #ex3.01 R
> prof<-profile(fit)
> par(mfrow=c(1,3))
> plot(prof)
> par(mfrow=c(1,1))
> vcov(fit)
>
> I run the code above and I get:
>
>> summary(fit)
> Maximum likelihood estimation
>
> Call:
> mle(minuslogl = OU.lik, start = list(theta1 = 1, theta2 = 1,
> theta3 = 1), method = "L-BFGS-B", lower = c(-Inf, -Inf, -Inf),
> upper = c(Inf, Inf, Inf))
>
> Coefficients:
> Estimate Std. Error
> theta1 0.03595581 0.013929892
> theta2 4.30910365 1.663781710
> theta3 0.02120220 0.004067477
>
> -2 log L: -5136.327
>
> I need to run the same analysis for 40 different time series.
>
> I want to be able to collate all the estimates of theta and the associated
> stadard errors and then transfer them into excel?
>
> Can someone please point me to some R code that will allow me to do this?
>
> Thanks
>
>
>
> --
> View this message in context:
> http://r.789695.n4.nabble.com/Reading-Data-from-mle-into-excel-tp3545569p3545569.html
> Sent from the R help mailing list archive at Nabble.com.
>
> __
> 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.
>
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