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Is there any existing implementation in R/S of : 1] Pincus & Kalman's approximate entropy (ApEn) measure 2] Total Correlation / Multiinformation 3] Information Interaction A search doesn't quite reveal anything, but I'd be keen to not reinvent in...

date <- as.POSIXlt(Sys.time()) #present date for (i in 1:difftime(as.POSIXlt(Sys.Date()),"2007-10-01")) if (date$wday != 0 & date$wday != 6) {print(date);assign("date", (date-86400))} else (assign("date", (date-86400))) I am trying...

date <- as.POSIXlt(Sys.time()) #present date for (i in 1:difftime(as.POSIXlt(Sys.Date()),"2007-10-01")) if (date$wday != 0 & date$wday != 6) {print(date);assign("date", (date-86400))} else (assign("date", (date-86400))) I am trying...

I have a dataframe say: date price_g price_s 0.34 0.56 0.36 0.76 . . . . . . and so on. say, 1000 rows. Is it possible to add two columns to this dataframe, by computing say diff(log(price...

I have some time series data which I am interested in plotting. The standard function for plotting ts, or zoo objects work fine, however, I am curious about plotting long time series with a dynamic aspect ratio. My point is...

date <- as.POSIXlt(Sys.time()) #present date for (i in 1:difftime(as.POSIXlt(Sys.Date()),"2007-10-01")) if (date$wday != 0 & date$wday != 6) {print(date);assign("date", (date-86400))} else (assign("date", (date-86400))) I am trying...

I am interested in creating multiple (say 1000) time series, from a given stochastic process, of length 250. I want to refer to each realization with its own variable name, of the format say, tsn, where n is the n...

I have an ordered series of 3 month t-bill rates (annual). I transform this to a daily series, however, the observations are constructed only from the dates on which the t-bills were issued, which is every week. So...

Hi, Given a set of stochastic sequences, say n with T observations on each. Is there any algorithm (hopefully implemented) to compute the total correlation / multi-information for this set of random sequences? I know that it entails estimation of...

Experimenting with the fPortfolio package, and computing the frontier using some asset returns, a portfolio specification and some constraints, I save that to an object, presumably of fPortfolio class. I can print it, summarize it, and plot it. However, I...

I am trying to download a bunch of files from a server, for which I am using download.file( ) within a for loop. The script is working fine except until download.file hits a URL which has no file, at...

I have financial data on a a set of firms, with a quarterly period (fundamental data). The data spans 10 years, and four quarters per year. The present file (.csv) reads the Date columns as "200706" for the second quarter...

Jim, Thanks. Actually I just got it working a few minutes ago with: tryCatch({download.file(url, destfile = file, quiet = FALSE, mode = "wb")}, silent = FALSE, condition = function(err) { } ) but I like your suggestion better. I'll attempt to log the...

Thanks Henrique, Don and Gabor. I did come around to solving it by using the zoo library. Very useful stuff that one for handling a bunch of long irregular time series. Gabor, thanks for your present and previous responses. The...

Gabor, Thanks much. Your solution is elegant. My overall scheme is to take present date, and check whether it is a weekend, if not, then create a string based on the date, to concatenate into a url link for download...

Gabor, Thanks much. Your solution is elegant. My overall scheme is to take present date, and check whether it is a weekend, if not, then create a string based on the date, to concatenate into a url link for download...