[R] using acf() for multiple columns

[rcoder]

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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