Thank you for your very fast response. I just tried to use the zoo package, after having read the vignettes, but I get this error message:
Warning messages: 1: In x$DAY : $ operator is invalid for atomic vectors, returning NULL 2: In x$EARNINGS : $ operator is invalid for atomic vectors, returning NULL 3: In x$DAY : $ operator is invalid for atomic vectors, returning NULL 4: In x$EARNINGS : $ operator is invalid for atomic vectors, returning NULL 5: In x$DAY : $ operator is invalid for atomic vectors, returning NULL 6: In x$EARNINGS : $ operator is invalid for atomic vectors, returning NULL Am I missing something ? Thank you again Angelo Linardi -----Messaggio originale----- Da: Gabor Grothendieck [mailto:[EMAIL PROTECTED] Inviato: giovedì 5 giugno 2008 17.55 A: LINARDI ANGELO Cc: r-help@r-project.org Oggetto: Re: [R] Securities earning covariance Check out the three vignettes (i.e. pdf documents in the zoo package). e.g. Lines <- "SEC_ID DAY EARNING IT0000001 20070101 5.467 IT0000001 20070102 5.456 IT0000001 20070103 4.954 IT0000001 20070104 3.456 IT0000002 20070101 1.456 IT0000002 20070102 1.345 IT0000002 20070103 1.233 IT0000003 20070101 0.345 IT0000003 20070102 0.367 IT0000003 20070103 0.319 " DF <- read.table(textConnection(Lines), header = TRUE) DFs <- split(DF, DF$SEC_ID) library(zoo) f <- function(DF.) zoo(DF.$EARNING, as.Date(format(DF.$DAY), "%Y%m%d")) z <- do.call(merge, lapply(DFs, f)) cov(z) # uses n-1 On Thu, Jun 5, 2008 at 11:41 AM, <[EMAIL PROTECTED]> wrote: > Good morning, > > I am a new R user and I am trying to learn how to use it. > I am trying to solve this problem. > I have a dataframe df of daily securities (for a year) earnings as > follows: > > SEC_ID DAY EARNING > IT0000001 20070101 5.467 > IT0000001 20070102 5.456 > IT0000001 20070103 4.954 > IT0000001 20070104 3.456 > .......................... > IT0000002 20070101 1.456 > IT0000002 20070102 1.345 > IT0000002 20070103 1.233 > .......................... > IT0000003 20070101 0.345 > IT0000003 20070102 0.367 > IT0000003 20070103 0.319 > .......................... > > And so on: about 800 different SEC_ID and about 180000 rows. > I have to calculate the "covariance" for each couple of securities x > and y according to the formula: > > Cov(x,y) = (sum[(x-x')*(y-y')]/N)/(sx*sy) > > being x' and y' the mean of securities earning in the year, N the > number of observations, sx and sy the standard deviation of x and y. > To do this I could build a df2 data frame like this: > > DAY SEC_ID.x SEC_ID.y EARNING.x > EARNING.y x' y' sx sy > 20070101 IT0000001 IT0000002 5.467 1.456 > a b aa bb > 20070101 IT0000001 IT0000003 5.467 0.345 > a c aa cc > 20070101 IT0000002 IT0000003 1.456 0.345 > b c bb cc > 20070102 IT0000001 IT0000002 5.456 1.345 > a b aa bb > 20070102 IT0000001 IT0000003 5.456 0.367 > a c aa cc > 20070102 IT0000002 IT0000003 1.345 0.367 > b c bb cc > ........................................................................ > ....................................................... > > (merging df with itself with a condition SEC_ID.x < SEC_ID.y) and then > easily calculate the formula; but the dimensions are too big (the > process stops whit an out-of-memory message). > Besides partitioning the input and using a loop, are there any smarter > solutions (eventually using split and other ways of "subgroup merging" > to solve the problem ? > Are there any "shortcuts" using statistical built-in functions (e.g. > cov, vcov) ? > Thank you in advance > > Angelo Linardi > > > > ** Le e-mail provenienti dalla Banca d'Italia sono trasmesse in buona > fede e non comportano alcun vincolo ne' creano obblighi per la Banca > stessa, salvo che cio' non sia espressamente previsto da un accordo scritto. > Questa e-mail e' confidenziale. Qualora l'avesse ricevuta per errore, > La preghiamo di comunicarne via e-mail la ricezione al mittente e di > distruggerne il contenuto. La informiamo inoltre che l'utilizzo non > autorizzato del messaggio o dei suoi allegati potrebbe costituire reato. > Grazie per la collaborazione. > -- E-mails from the Bank of Italy are sent in good faith but they are > neither binding on the Bank nor to be understood as creating any > obligation on its part except where provided for in a written > agreement. This e-mail is confidential. If you have received it by mistake, > please inform the sender by reply e-mail and delete it from your system. > Please also note that the unauthorized disclosure or use of the > message or any attachments could be an offence. Thank you for your > cooperation. ** > > ______________________________________________ > 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. > ** Le e-mail provenienti dalla Banca d'Italia sono trasmesse in buona fede e non comportano alcun vincolo ne' creano obblighi per la Banca stessa, salvo che cio' non sia espressamente previsto da un accordo scritto. Questa e-mail e' confidenziale. Qualora l'avesse ricevuta per errore, La preghiamo di comunicarne via e-mail la ricezione al mittente e di distruggerne il contenuto. La informiamo inoltre che l'utilizzo non autorizzato del messaggio o dei suoi allegati potrebbe costituire reato. Grazie per la collaborazione. -- E-mails from the Bank of Italy are sent in good faith but they are neither binding on the Bank nor to be understood as creating any obligation on its part except where provided for in a written agreement. This e-mail is confidential. If you have received it by mistake, please inform the sender by reply e-mail and delete it from your system. Please also note that the unauthorized disclosure or use of the message or any attachments could be an offence. Thank you for your cooperation. ** ______________________________________________ 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.
