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(950000), 1, ifelse (maxlogP > log (1000000), 0, 1)) CountProf[i] <- ifelse (maxlogP < log (1100000),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 periodOutput 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(950000) and maxlogP > log(1100000) would be counted in both.
Duncan Murdoch ______________________________________________ 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.
