[R] Converting 2D matrix to 3D array

Hi, I would like to create M paths of 2 correlated brownian motion incrementals where each path is of length N. I use mvrnorm to create all the increments, i.e. h - 1.0; COV - matrix(c(1,0,0,1),nrow=2); dW- h * t(mvrnorm(n=N*M,mu=c(0,0),Sigma=COV)); The next step is that I'd like to

[R] Package for multi-dimensional terminal value ODE solver

Hi, I did some googling. I found multiple ODE solver packages. But I am wondering if there is any terminal value ODE solver (linear case) for multi-dimension case or not? I have not come across any. Any guidance would be appreciated. Robert [[alternative HTML version deleted]]

[R] Problem when plotting

Hi, I was trying to call chart.Posn. I ran into an unusual problem. It complains that: Error in strheight(axt): X11 font -adobe-helvetica-%s-%s-*-*-%d-*-*-*-*..., face 1 at size 11 could not be loaded. I am wondering how to fix this? It seems something is missing from X11 device but I don't

[R] Finding percentile of a value from an empirical distribution

Hello, I am not sure how to do this in R. Any suggestion would be appreciated. I have a vector of values from where I build an empirical CDF. For example: x - seq(1,100) x - sample(x,1000,replace=T) quantile(x,probs=seq(0,1,.05)) 0% 5%10%15%20%25%30%35%40%

Re: [R] Finding percentile of a value from an empirical distribution

. HTH, Jorge.- On Tue, Jan 10, 2012 at 11:52 PM, Robert A'gata wrote: Hello, I am not sure how to do this in R. Any suggestion would be appreciated. I have a vector of values from where I build an empirical CDF. For example: x - seq(1,100) x - sample(x,1000,replace=T) quantile(x,probs

[R] Product integral in R

Hi, I am wondering if anybody ever come across any implementation of product integral in R? As far as I googled, I haven't come across any package. Is there any? Thank you. http://en.wikipedia.org/wiki/Product_integral Regards, Robert __

[R] Double integration using R

Hi, I have a function that I need to do double integration: \int^T_0 \int^t_0 N(\delta / \sigma \sqrt(u)) (1-N(\delta / \sigma \sqrt(u))) du dt where N(x) is a standard normal probability of x. I start off by writing an inner integral into a function. Meaning \int^t_0 N(\delta,\sigma \sqrt(u))

Re: [R] [R-SIG-Finance] AsOf join in R

-finance-boun...@r-project.org] On Behalf Of Robert A'gata Sent: Wednesday, 5 October 2011 2:41 PM To: r-help@r-project.org; r-sig-fina...@stat.math.ethz.ch Subject: [R-SIG-Finance] AsOf join in R Hi, I tried to google for any solution for asof join operator in R. But I couldn't find one

Re: [R] [R-SIG-Finance] AsOf join in R

of certain securities Commonwealth Bank is or may be the only market maker. -Original Message- From: Robert A'gata [mailto:rhelp...@gmail.com] Sent: Thursday, 6 October 2011 12:08 PM To: Roupell, Darko; r-help@r-project.org; r-sig-fina...@stat.math.ethz.ch Subject: Re: [R-SIG-Finance

[R] AsOf join in R

Hi, I tried to google for any solution for asof join operator in R. But I couldn't find one. The asof join operator AsOf(A,B) merges 2 time series by looking for latest available value of B prior to each time point in A. For example, A - xts(c(10,15,20,25),

Re: [R] [R-SIG-Finance] Measure quality of fit for MA(q), ARMA(p, q) and GARCH(p, q)

residuals -- see http://www.burns-stat.com/pages/Working/ljungbox.pdf However, this is an in-sample test.  Much better is to do out-of-sample tests. On 04/06/2011 04:46, Robert A'gata wrote: Hi, I would like to ask for a guideline on how to assess quality of fit for MA, ARMA and GARCH

[R] timezone specification on windows machine

Hi, I'm wondering what's the right value for specifying America/New_York time zone on a windows machine? I got my code which specify this time zone on as.POSIXct function work properly with this value on a linux machine. But it keeps giving me complaint on windows. Thank you. Cheers, Robert

[R] Filtering out bad data points

Hi, I always have a question about how to do this best in R. I have a data frame and a set of criteria to filter points out. My procedure is to always locate indices of those points, check if index vector length is greater than 0 or not and then remove them. Meaning dftest -

[R] Handling of irregular time series in lineChart

Hi, I realized that when I have irregular series to feed into lineChart, the interval of each point in the chart does not seem to take care of irregular time interval I specified in my input xts time series. But rather, lineChart seems to take each point as equal spaced time series. For example,

[R] loess function takes long to estimate

Hi, I have 2 questions regarding using loess function in stats package. 1. I have about 1 million points. I did loess with alpha=0.5 and degree=1 and 2 regressors. It has run for more than 5 hrs on 64bit 16CPU and 64GB server (with no other process running). I am wondering if this is usual? And

[R] Plotting a 3D histogram

Hi - I am wondering if there is any package that does plotting of joint histogram between 2 variables, i.e. f(x,y). I found rgl but it seems not so intuitive to use. I'm wondering if there is any alternative. Thank you. Robert __ R-help@r-project.org