[R] using acf() for multiple columns

[Ling, Gary (Electronic Trading)]

This should do.

sapply(split(A,col(A)), function(ts) acf(ts,plot=F)$acf)

-gary

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On Behalf Of rcoder
Sent: Thursday, August 07, 2008 4:11 AM
To: r-help at r-project.org
Subject: Re: [R] using acf() for multiple columns



Hi Gary,

Thanks for your reply. This works fine. Is there any way to send the ACF
data to a matrix, so I could analyse the data in excel for e.g.?

Thanks,

rcoder












Ling, Gary (Electronic Trading) wrote:
> 
> Hi, here is one possible solution ...
> -gary
> 
> ### example ###
> 
> # create a 500x3 multi-ts
> A <- matrix(rnorm(1500),nrow=500)
> 
> # misc. graphical setting
> par(mfrow=c(ncol(A),1))
> 
> # then our friend -- lapply(split(...))
> lapply(split(A,col(A)), acf)
> #Or
> lapply(split(A,col(A)), function(ts) acf(ts, lag.max=10))
> 
> 
> 
> 
> 
> -----Original Message-----
> From: r-help-bounces at r-project.org
[mailto:r-help-bounces at r-project.org]
> On Behalf Of rcoder
> Sent: Wednesday, August 06, 2008 4:13 PM
> To: r-help at r-project.org
> Subject: [R] using acf() for multiple columns
> 
> 
> 
> Hi everyone,
> 
> I'm trying to use the acf() function to calculate the autocorrelation
of
> each column in a matrix. The trouble is that I can only seem to get
the
> function to work if I extract the data in the column into a separate
> matrix
> and then apply the acf() function to this column.
> 
> I have something like this: acf(mat,lag.max=10,na.action=na.pass)
> 
> ...but I would really like to apply the function to 'mat' where 'mat'
is
> a
> matrix as opposed to a vector. The function actually doesn't return an
> acf
> coefficient, but instead plots the data. So, in addition to handling
> matrices with multiple columns, would anyone know how to coerce the
> function
> to output the underlying data?
> 
> Finally, when working with a matrix, is there a way I can specify how
> many
> plots I can display after the function executes? I managed to generate
a
> multiple plot when I was experimenting, but the titles suggested the
acf
> was
> calculated between adjacent columns in the matrix, which is something
I
> was
> puzzled about.
> 
> Thanks,
> 
> rcoder
> -- 
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______________________________________________
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and provide commented, minimal, self-contained, reproducible code.
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This message w/attachments (message) may be privileged, confidential or proprietary, and if you are not an intended recipient, please notify the sender, do not use or share it and delete it. Unless specifically indicated, this message is not an offer to sell or a solicitation of any investment products or other financial product or service, an official confirmation of any transaction, or an official statement of Merrill Lynch. Subject to applicable law, Merrill Lynch may monitor, review and retain e-communications (EC) traveling through its networks/systems. The laws of the country of each sender/recipient may impact the handling of EC, and EC may be archived, supervised and produced in countries other than the country in which you are located. This message cannot be guaranteed to be secure or error-free. This message is subject to terms available at the following link: http://www.ml.com/e-communications_terms/. By messaging with Merrill Lynch you consent to the foregoing.