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Splitting time series into blocks/regimes?
3 messages · Michael, R. Michael Weylandt, Whit Armstrong
I find this idea methodologically iffy, but perhaps you could do a little bit to make it a well posed question: i) Are you picking these periods as relatively equal divisions or time or as ex-post artifacts of "all that mess" ii) What is "the clustering algorithm"? Aren't there quite a few? iii) What does this mean: "the 3 big blocks/regimes need to be contiguous within each block/regime itself..." Perhaps you should look into reformulating your idea in terms of regime switching models. Michael Weylandt
On Tue, Feb 28, 2012 at 12:55 PM, Michael <comtech.usa at gmail.com> wrote:
Hi all, I have a time series of historical SP500 returns. How do I split it into a few non-overlapping blocks(regimes) in time in an automated fashion? For example, given a prespecified number N which is the number of blocks/regimes, lets say 3. And given 5 year history of SP500 time series and returns. Manually, the period before Sept. 2008 is one regime. The period in-between Sept. 2008 and arguably May 2010 is the 2nd regime. Then the third regime is from May 2010 until today. So then we have three blocks/regimes splitted. Is there a way to split automatically? I have been thinking about using clustering algorithm on the returns. However, what is needed is a constrained version of the clustering algorithm, i.e. the 3 big blocks/regimes need to be contiguous within each block/regime itself... I am looking for a way to do this in R... Any thoughts are highly appreciated! Thanks a lot! FYI: I have asked a similar question before on this list but somehow I felt it's probably better to renew the question with my newer and more concrete examples. Also I've listed my question here so the answers to my question could be reference for fellow statisticians in the future... http://stats.stackexchange.com/questions/23817/splitting-time-series-data-into-blocks-regimes ? ? ? ?[[alternative HTML version deleted]]
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It's not easy to do this. http://dss.ucsd.edu/~jhamilto/palgrav1.pdf http://www.econ.washington.edu/user/cnelson/markov/prgmlist.htm Most people use gibbs sampling or other mcmc methods. as it happens, I have some software you can use if you don't mind getting your hands dirty. https://github.com/armstrtw/CppBugs or you can just use BUGS/JAGS. also, some code is here: http://faculty.chicagobooth.edu/hedibert.lopes/teaching/sa2011/sa2011.html -Whit On Wed, Feb 29, 2012 at 7:24 AM, R. Michael Weylandt
<michael.weylandt at gmail.com> wrote:
I find this idea methodologically iffy, but perhaps you could do a little bit to make it a well posed question: i) Are you picking these periods as relatively equal divisions or time or as ex-post artifacts of "all that mess" ii) What is "the clustering algorithm"? Aren't there quite a few? iii) What does this mean: "the 3 big blocks/regimes need to be contiguous within each block/regime itself..." Perhaps you should look into reformulating your idea in terms of regime switching models. Michael Weylandt On Tue, Feb 28, 2012 at 12:55 PM, Michael <comtech.usa at gmail.com> wrote:
Hi all, I have a time series of historical SP500 returns. How do I split it into a few non-overlapping blocks(regimes) in time in an automated fashion? For example, given a prespecified number N which is the number of blocks/regimes, lets say 3. And given 5 year history of SP500 time series and returns. Manually, the period before Sept. 2008 is one regime. The period in-between Sept. 2008 and arguably May 2010 is the 2nd regime. Then the third regime is from May 2010 until today. So then we have three blocks/regimes splitted. Is there a way to split automatically? I have been thinking about using clustering algorithm on the returns. However, what is needed is a constrained version of the clustering algorithm, i.e. the 3 big blocks/regimes need to be contiguous within each block/regime itself... I am looking for a way to do this in R... Any thoughts are highly appreciated! Thanks a lot! FYI: I have asked a similar question before on this list but somehow I felt it's probably better to renew the question with my newer and more concrete examples. Also I've listed my question here so the answers to my question could be reference for fellow statisticians in the future... http://stats.stackexchange.com/questions/23817/splitting-time-series-data-into-blocks-regimes ? ? ? ?[[alternative HTML version deleted]]
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_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.