[R] Application of rolling window in entropy analysis

[Subhamitra Patra]

ts= India[-1,]
N<-ncol(ts)
width <- 500
M <- nrow(ts) - width
r<-matrix(0, ncol = N, nrow = M)
library(pracma)
for (i in 1:N){
       r[,i]<-rollapply( data=ts[,i], width=width, FUN=approx_entropy, edim
= 2, r = 0.2*sd(ts[,i]), elag = 1, align="right")
}

This is my entropy value which I am interested to use in rolling window
size of 500. I applied rollapply function, but it is not working.

Kindly help me out


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11/02/18,
4:02:18 PM

On Fri, Nov 2, 2018 at 3:59 PM Eric Berger <ericjberger using gmail.com> wrote:

> How about something like this:
>
> ts= India[-1,]   #####For deleting the year row
> N<-ncol(ts)
> width <- 500
> M <- nrow(ts) - width
> r<-matrix(0, ncol = N, nrow = M)
> library(pracma)
> for (i in 1:N){
>        r[,i]<-rollapply( data=ts[,i], width=width, FUN=approx_entropy,
> edim = 2, r = 0.2*sd(ts[,i]), elag = 1, align="right")
> }
>
> Best,
> Eric
>
>
>
> On Fri, Nov 2, 2018 at 12:15 PM Subhamitra Patra <
> subhamitra.patra using gmail.com> wrote:
>
>> Thank you for the clarification. I checked and there was a small
>> mistakes in the code. Now my code is
>>
>> ts= India[-1,]   #####For deleting the year row
>> N<-ncol(ts)
>> r<-matrix(0, ncol = N, nrow = 1)
>> library(pracma)
>> for (i in 1:N){
>>        r[i]<-approx_entropy(ts[,i], edim = 2, r = 0.2*sd(ts[,i]), elag =
>> 1)
>> }
>>
>> Even with this code also, I am unable to apply rollapply function.
>>
>> Kindly help me.
>>
>>
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>> <https://mailtrack.io?utm_source=gmail&utm_medium=signature&utm_campaign=signaturevirality5&> Sender
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>> <https://mailtrack.io?utm_source=gmail&utm_medium=signature&utm_campaign=signaturevirality5&> 11/02/18,
>> 3:44:26 PM
>>
>> On Fri, Nov 2, 2018 at 3:42 PM Eric Berger <ericjberger using gmail.com> wrote:
>>
>>> Hi,
>>> You have some problems with your setup. You set N based on the number of
>>> rows in ts, but then in the call to approx_entropy you write ts[,i].
>>> Note that ts[,i] is the i'th column of ts, whereas your definition of i
>>> implies it is based on row numbers.
>>>
>>> Maybe this is leading you to see problems elsewhere. From the rollapply
>>> documentation I don't see any reason why it would not work with the
>>> approx_entropy function.
>>>
>>> Best,
>>> Eric
>>>
>>>
>>> On Fri, Nov 2, 2018 at 11:16 AM Subhamitra Patra <
>>> subhamitra.patra using gmail.com> wrote:
>>>
>>>> Dear all R users,
>>>>
>>>> I want to apply the entropy methods in rolling window analysis. I tried
>>>> with the rollapply function, but it is not working. For your
>>>> convenience, I
>>>> am providing my code so that you can easily suggest me the application
>>>> of
>>>> rolling window in the particular methodology. Here is my code
>>>>
>>>> N<-nrow(ts)
>>>> r<-matrix(0, nrow = N, ncol = 1)
>>>> for (i in 1:N){
>>>>      r[i]<-approx_entropy(ts[,i], edim = 2, r = 0.2*sd(ts[,i]), elag =
>>>> 1)
>>>> }
>>>>
>>>> Kindly suggest me how to apply rolling window size of 500 in the
>>>> particular
>>>> time series model?
>>>>
>>>> I expect positive help from you.
>>>>
>>>> Thanks in advance.
>>>>
>>>> --
>>>> *Best Regards,*
>>>> *Subhamitra Patra*
>>>> *Phd. Research Scholar*
>>>> *Department of Humanities and Social Sciences*
>>>> *Indian Institute of Technology, Kharagpur*
>>>> *INDIA*
>>>>
>>>>
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>>>> https://mailtrack.io?utm_source=gmail&utm_medium=signature&utm_campaign=signaturevirality5&
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>>>> 11/02/18,
>>>> 2:44:12 PM
>>>>
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>>>>
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>>>
>>
>> --
>> *Best Regards,*
>> *Subhamitra Patra*
>> *Phd. Research Scholar*
>> *Department of Humanities and Social Sciences*
>> *Indian Institute of Technology, Kharagpur*
>> *INDIA*
>>
>

-- 
*Best Regards,*
*Subhamitra Patra*
*Phd. Research Scholar*
*Department of Humanities and Social Sciences*
*Indian Institute of Technology, Kharagpur*
*INDIA*

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