[R] How to estimate weekly Variance
jim holtman
jholtman at gmail.com
Sat Feb 16 17:52:27 CET 2008
Here is one way of doing it:
> x <- read.table(textConnection("WK TD VARTD PD DailyVarPD
+ 28 0.014735 0.0000449 0 0
+ 28 0.012421 0.0000449 0 0
+ 28 0.014396 0.0000449 71 7005
+ 28 0.014898 0.0000449 132 14016
+ 28 0.013512 0.0000449 223 32506
+ 28 0.013886 0.0000449 224 31287
+ 28 0.013778 0.0000449 218 30528
+ 29 0.013274 0.0000449 228 34505
+ 29 0.013072 0.0000449 224 34531
+ 29 0.012518 0.0000449 488 117720
+ 29 0.013264 0.0000449 525 119323
+ 29 0.013233 0.0000449 80 9134
+ 29 0.010194 0.0000449 417 133067
+ 29 0.012567 0.0000449 82 10184
+ 30 0.014695 0.0000449 413 68893
+ 30 0.010634 0.0000449 373 103688
+ 30 0.013934 0.0000449 914 272719
+ 30 0.014107 0.0000449 213 28473
+ 30 0.014339 0.0000449 651 147016
+ 30 0.014375 0.0000449 521 102429
+ 30 0.016373 0.0000449 979 229104"), header=TRUE)
> closeAllConnections()
> # daily using your formula
> x$newDaily <- with(x, (PD * (1 - TD))/TD + VARTD * ((PD*(1-TD)+ PD^2*TD))/TD^3)
> x
WK TD VARTD PD DailyVarPD newDaily
1 28 0.014735 4.49e-05 0 0 0.000
2 28 0.012421 4.49e-05 0 0 0.000
3 28 0.014396 4.49e-05 71 7005 7006.197
4 28 0.014898 4.49e-05 132 14016 14018.783
5 28 0.013512 4.49e-05 223 32506 32514.484
6 28 0.013886 4.49e-05 224 31287 31295.424
7 28 0.013778 4.49e-05 218 30528 30535.647
8 29 0.013274 4.49e-05 228 34505 34514.170
9 29 0.013072 4.49e-05 224 34531 34539.992
10 29 0.012518 4.49e-05 488 117720 117762.642
11 29 0.013264 4.49e-05 525 119323 119365.443
12 29 0.013233 4.49e-05 80 9134 9136.090
13 29 0.010194 4.49e-05 417 133067 133116.531
14 29 0.012567 4.49e-05 82 10184 10186.465
15 30 0.014695 4.49e-05 413 68893 68915.217
16 30 0.010634 4.49e-05 373 103688 103724.478
17 30 0.013934 4.49e-05 914 272719 272829.966
18 30 0.014107 4.49e-05 213 28473 28480.576
19 30 0.014339 4.49e-05 651 147016 147070.746
20 30 0.014375 4.49e-05 521 102429 102464.631
21 30 0.016373 4.49e-05 979 229104 229195.063
> # not sure what you want for weekly, but we can take the averages of the values
> x.wk <- aggregate(x, list(x$WK), mean)
> x.wk$var <- with(x.wk, (PD * (1 - TD))/TD + VARTD * ((PD*(1-TD)+ PD^2*TD))/TD^3)
> x.wk
Group.1 WK TD VARTD PD DailyVarPD newDaily var
1 28 28 0.01394657 4.49e-05 124.0000 16477.43 16481.51 14340.27
2 29 29 0.01258886 4.49e-05 292.0000 65494.86 65517.33 53548.78
3 30 30 0.01406529 4.49e-05 580.5714 136046.00 136097.24 126432.61
>
>
On Feb 16, 2008 11:17 AM, Felipe Carrillo <mazatlanmexico at yahoo.com> wrote:
> Jim:
> I actually would like to know how can I estimate Daily
> and Weekly Variance for PD using R and not Excel.I
> have read about R's variance function but I don't know
> how to apply it to PD in my dataset. I hope my
> question is clearer. Thanks
>
>
> > > Dear All:
> > > Using the Excel formula below I am able to
> > estimate
> > > daily variance(Daily VarPD)for PD,but I can't
> > figure
> > > out how to estimate the Weekly variance for PD.
> > Any
> > > hints?
> > >
> > > Daily VarPD = (PD * (1 - TD))/TD + VarTD *
> > > ((PD*(1-TD)+ PD^2*TD))/TD^3
> > >
> > >
> > > WK TD VARTD PD Daily
> > VarPD
> > > 28 0.014735 0.0000449 0 0
> > > 28 0.012421 0.0000449 0 0
> > > 28 0.014396 0.0000449 71
> > 7005
> > > 28 0.014898 0.0000449 132
> > 14016
> > > 28 0.013512 0.0000449 223
> > 32506
> > > 28 0.013886 0.0000449 224
> > 31287
> > > 28 0.013778 0.0000449 218
> > 30528
> > > 29 0.013274 0.0000449 228
> > 34505
> > > 29 0.013072 0.0000449 224
> > 34531
> > > 29 0.012518 0.0000449 488
> > 117720
> > > 29 0.013264 0.0000449 525
> > 119323
> > > 29 0.013233 0.0000449 80
> > 9134
> > > 29 0.010194 0.0000449 417
> > 133067
> > > 29 0.012567 0.0000449 82
> > 10184
> > > 30 0.014695 0.0000449 413
> > 68893
> > > 30 0.010634 0.0000449 373
> > 103688
> > > 30 0.013934 0.0000449 914
> > 272719
> > > 30 0.014107 0.0000449 213
> > 28473
> > > 30 0.014339 0.0000449 651
> > 147016
> > > 30 0.014375 0.0000449 521
> > 102429
> > > 30 0.016373 0.0000449 979
> > 229104
> > >
> > >
> > > Felipe D. Carrillo
> > > Fishery Biologist
> > > US Fish & Wildlife Service
> > > California, USA
> > >
> > >
> > >
> > >
> >
> ____________________________________________________________________________________
> > > Be a better friend, newshound, and
> > >
> > > ______________________________________________
> > > R-help at r-project.org mailing list
> > > https://stat.ethz.ch/mailman/listinfo/r-help
> > > PLEASE do read the posting guide
> > http://www.R-project.org/posting-guide.html
> > > and provide commented, minimal, self-contained,
> > reproducible code.
> > >
> >
> >
> > --
> > Jim Holtman
> > Cincinnati, OH
> > +1 513 646 9390
> >
> > What is the problem you are trying to solve?
> >
>
>
> Felipe D. Carrillo
> Fishery Biologist
> US Fish & Wildlife Service
> California, USA
>
>
>
> ____________________________________________________________________________________
> Never miss a thing. Make Yahoo your home page.
> http://www.yahoo.com/r/hs
>
--
Jim Holtman
Cincinnati, OH
+1 513 646 9390
What is the problem you are trying to solve?
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