CODEWITHSUNDEEP
rfunctionstatisticsapplyxts
tazrart
tazrart

Reputation: 167

R How to use function "Length with condition" at period.apply?

I want to quantify the number of days above a constant value (eg. > 0.005) for each year throughout my time series.

I use this example to explain my problematic:

library(xts) 
library(PerformanceAnalytics)

data(edhec) 
head(edhec)

edhec_4yr <- edhec["1997/2001"] 
ep <- endpoints(edhec_4yr, "months")

# mean 
period.apply(edhec_4yr, INDEX = ep, function(x) apply(x,2,mean))

# Length

period.apply(edhec_4yr, INDEX = ep, function(x) apply(x,2, length))

# Length with condition (error!!)

period.apply(edhec_4yr, INDEX = ep, function(x) apply(x,2, 
length(which(x>0.005))))

To calculate the annual average it's ok, I use the function "Length" to estimate the annual number it works, But if I add a condition length (which (x> 0.005)))) it does not work!

Do you have ideas how to improve the length function with condition in period.apply!

Thank you in advance for your help

Upvotes: 0

Views: 779

Answers (1)

Ralf Stubner
Ralf Stubner

Reputation: 26823

You have to supply a function as third argument to apply, e.g. like this:

period.apply(edhec_4yr, 
             INDEX = ep, 
             function(x) apply(x,
                               2, 
                               function(y) length(which(y>0.005))))

Upvotes: 1

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