An embedded and charset-unspecified text was scrubbed... Name: not available URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20120618/ad44128a/attachment.pl>
Compute jump test statistic
6 messages · Caolan Harvey, G See, cursethiscure
We don't have your data, so we can't get past
numr = 1 - (outads$medrv/outads$rv)
Error: object 'outads' not found
Please see:
tinyurl.com/reproducible-000
and
http://www.r-project.org/posting-guide.html
Also, it wouldn't hurt to explain what you're doing, what all those
terms are in your formula, and what the notation means.
Finally, only send text e-mails to the list; no HTML.
Garrett
On Mon, Jun 18, 2012 at 2:16 PM, Caolan Harvey
<caolan.harvey6 at mail.dcu.ie> wrote:
?Im trying to compute the following statistic testing for jumps in high frequecy asset prices, J t,M ?= ?(1 ? MedRVt,M / RVt,M) /(sqrt*( 0.96 * 1/M * max(1, MedRQt,M/ MedRV2t,M )) I have in R: ## ADS Test Statistic
numr = 1 - (outads$medrv/outads$rv)> outads$medrq/(outads$medrv^2) -> denom2> fix(denom2)
But when I ?try to run the max(1, MedRQt,M/ MedRV2t,M)) part I get:
max(1, denom2)[1] NA
I guess this is returned because I am tryin to maximise a time series / sequence against a constant but I am not sure how to run this? Any advice? Thanks ? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ 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.
Sorry please find the outads data attached as a csv file. For the max(1, MedRQ/MedRV^2)) where MedRQ/MedRV is: `outads$medrq/(outads$medrv^2) -> outads$denom2` in the csv file. I am trying to return the maximum of either 1 or MedRQ/MedRV^2 (i'm aware all values are greater than 1, but this needs to be applied to other data sets) but I do not know how to maximise a constant against time-series sequence. Everything else is ok. I just dont know how to return this argument http://r.789695.n4.nabble.com/file/n4633741/outads.csv outads.csv -- View this message in context: http://r.789695.n4.nabble.com/Compute-jump-test-statistic-tp4633731p4633741.html Sent from the Rmetrics mailing list archive at Nabble.com.
A csv does not contain R objects. How did you read the csv into R? On Mon, Jun 18, 2012 at 3:24 PM, cursethiscure
<caolan.harvey6 at mail.dcu.ie> wrote:
Sorry please find the outads data attached as a csv file. ?For the max(1, MedRQ/MedRV^2)) ?where MedRQ/MedRV is: `outads$medrq/(outads$medrv^2) -> outads$denom2` ?in the csv file. ?I am trying to return the maximum of either 1 or MedRQ/MedRV^2 (i'm ?aware all values are greater than 1, but this needs to be applied to ?other data sets) but I do not know how to maximise a constant against ?time-series sequence. Everything else is ok. I just dont know how to ?return this argument http://r.789695.n4.nabble.com/file/n4633741/outads.csv outads.csv -- View this message in context: http://r.789695.n4.nabble.com/Compute-jump-test-statistic-tp4633731p4633741.html Sent from the Rmetrics mailing list archive at Nabble.com.
_______________________________________________ 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.
What do you want to do with all of the NAs in your data. You can't apply functions like max to data with NA
max(0, 1)
[1] 1
max(NA, 1)
[1] NA Maybe you want to use na.omit?
max(na.omit(c(NA, 0)), 1)
[1] 1 HTH, Garrett
On Mon, Jun 18, 2012 at 4:29 PM, G See <gsee000 at gmail.com> wrote:
A csv does not contain R objects. ?How did you read the csv into R? On Mon, Jun 18, 2012 at 3:24 PM, cursethiscure <caolan.harvey6 at mail.dcu.ie> wrote:
Sorry please find the outads data attached as a csv file. ?For the max(1, MedRQ/MedRV^2)) ?where MedRQ/MedRV is: `outads$medrq/(outads$medrv^2) -> outads$denom2` ?in the csv file. ?I am trying to return the maximum of either 1 or MedRQ/MedRV^2 (i'm ?aware all values are greater than 1, but this needs to be applied to ?other data sets) but I do not know how to maximise a constant against ?time-series sequence. Everything else is ok. I just dont know how to ?return this argument http://r.789695.n4.nabble.com/file/n4633741/outads.csv outads.csv -- View this message in context: http://r.789695.n4.nabble.com/Compute-jump-test-statistic-tp4633731p4633741.html Sent from the Rmetrics mailing list archive at Nabble.com.
_______________________________________________ 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.
On Mon, Jun 18, 2012 at 4:38 PM, G See <gsee000 at gmail.com> wrote:
What do you want to do with all of the NAs in your data. ?You can't apply functions like max to data with NA
max(0, 1)
[1] 1
max(NA, 1)
[1] NA Maybe you want to use na.omit?
max(na.omit(c(NA, 0)), 1)
[1] 1
or use `na.rm=TRUE`
max(c(NA, 1), na.rm=TRUE)
[1] 1
HTH, Garrett