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#
# LSPM: The Leverage Space Portfolio Modeler
#
# Copyright (C) 2009-2010 Soren Macbeth, Joshua Ulrich, and Ralph Vince
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program. If not, see <http://www.gnu.org/licenses/>.
#
jointProbTable <- function(x, n=3, FUN=median, ...) {
# Author: Joshua Ulrich & Soren Macbeth
# Load LSPM
if(!require(LSPM,quietly=TRUE)) stop(warnings())
# Function to bin data
quantize <- function(x, n, FUN=median, ...) {
if(is.character(FUN)) FUN <- get(FUN)
bins <- cut(x, n, labels=FALSE)
res <- sapply(1:NROW(x), function(i) FUN(x[bins==bins[i]], ...))
}
# Allow for different values of 'n' for each system in 'x'
if(NROW(n)==1) {
n <- rep(n,NCOL(x))
} else
if(NROW(n)!=NCOL(x)) stop("invalid 'n'")
# Bin data in 'x'
qd <- sapply(1:NCOL(x), function(i) quantize(x[,i],n=n[i],FUN=FUN,...))
# Aggregate probabilities
probs <- rep(1/NROW(x),NROW(x))
res <- aggregate(probs, by=lapply(1:NCOL(qd), function(i) qd[,i]), sum)
# Clean up output, return lsp object
colnames(res) <- colnames(x)
res <- lsp(res[,1:NCOL(x)],res[,NCOL(res)], maxLoss=apply(x,2,min))
return(res)
}
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