sandbox/symposium2013/R/page.Distributions.R

In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

# Histogram, QQPlot and ECDF plots aligned by scale for comparison
page.Distributions <- function (R, colorset = c("black", "#00008F", "#005AFF", "#23FFDC", "#ECFF13", "#FF4A00", "#800000"), ...) {
  require(PerformanceAnalytics)
  op <- par(no.readonly = TRUE)
  # c(bottom, left, top, right)
  par(oma = c(5,0,2,1), mar=c(0,0,0,3))
  layout(matrix(1:(4*NCOL(R)), ncol=4, byrow=TRUE), widths=rep(c(.6,1,1,1),NCOL(R)))
  # layout.show(n=21)
  chart.mins=min(R, na.rm=TRUE)
  chart.maxs=max(R, na.rm=TRUE)
  means=colMeans(R, na.rm=TRUE)
  row.names = sapply(colnames(R), function(x) paste(strwrap(x,10), collapse = "\n"), USE.NAMES=FALSE)
  for(i in 1:NCOL(R)){
    if(i==NCOL(R)){
      plot.new()
      text(x=1, y=0.5, adj=c(1,0.5), labels=row.names[i], cex=1.1)
      chart.Histogram(R[,i], main="", xlim=c(chart.mins, chart.maxs), 
                      breaks=seq(round(chart.mins, digits=3)-0.005, round(chart.maxs, digits=3)+0.005, by=0.005), note.lines=boxplot.stats(as.vector(R[,i]))$stats, note.color=colorset[2],
                      show.outliers=TRUE, methods=c("add.normal"), colorset = colorset)
      abline(v=0, col="darkgray", lty=2)
      chart.QQPlot(R[,i], main="", pch=20, envelope=0.95, col=colorset, ylim=c(chart.mins, chart.maxs), cex=0.5)
      abline(v=0, col="darkgray", lty=2)
      chart.ECDF(R[,i], main="", xlim=c(chart.mins, chart.maxs), lwd=2, colorset=colorset)
      abline(v=0, col="darkgray", lty=2)
    }
    else{
      plot.new()
      text(x=1, y=0.5, adj=c(1,0.5), labels=row.names[i], cex=1.1)
      chart.Histogram(R[,i], main="", xlim=c(chart.mins, chart.maxs), 
                      breaks=seq(round(chart.mins, digits=3)-0.005, round(chart.maxs, digits=3)+0.005, by=0.005),  note.lines=boxplot.stats(as.vector(R[,i]))$stats, note.color=colorset[2],
                      xaxis=FALSE, yaxis=FALSE, show.outliers=TRUE, methods=c("add.normal"), colorset = colorset
                        )
      abline(v=0, col="darkgray", lty=2)
      chart.QQPlot(R[,i], main="", xaxis=FALSE, yaxis=FALSE, pch=20, envelope=0.95, col=c(colorset), ylim=c(chart.mins, chart.maxs), cex=0.5)
      abline(v=0, col="darkgray", lty=2)
      chart.ECDF(R[,i], main="", xlim=c(chart.mins, chart.maxs), xaxis=FALSE, yaxis=FALSE, lwd=2, colorset=colorset)
      abline(v=0, col="darkgray", lty=2)
    }
  }
  par(op)
}