Introduction to R Laurent Ferrara Summer School in Quantitative Finance - July 2008

Plan

Objective

Why R ? I

R is the open source version of S-Plus

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Both are written in S language

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R is FREE !!!

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R is reliable

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R allows many kinds of statistical and econometric analysis

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R is object-oriented

R Installation

Procedure I

Go to the R-project web site: http://www.r-project.org/

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Go to: Download / CRAN (left column)

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Go to the nearest mirror site (France: Toulouse, URL: cran.cict.fr)

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Go to: Download and install R (with Windows)

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You will arrive on this link : http://cran.cict.fr/bin/windows/base/R-2.5.1-win32.exe

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Lauch the .exe file

Package Installation (Example: tseries) Procedure I

Go to the nearest mirror site (France: Toulouse, URL: cran.cict.fr)

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Go to Software/Packages (left column)

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Click on tseries in the list of contributed packages

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Download the .zip file (exe) and the .pdf file (manual)

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Repeat the previous steps for the packages zoo and quadprog (needeed to run tseries)

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Go back to R, from the toolbar go to Packages/Install packages from the zip files and select the right package

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From the toolbar, go to Packages/Charge the package and select tseries

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To verify that it is correctly installed type: > help(arma)

First steps with R

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Double-click on the icon

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Information on R appear

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The symbol > indicates that you can write lines of commands

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The symbol + indicates that your line of command is not finished

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R is case-sensitive

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to quit R: > q()

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Don’t forget to save an image of your workspace so that you can find your objects next time you will open this workspace

Basic operations with R

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Symbols + - / * allow classical operations > 2+3 5 > 2*3 6 > 2**3 8

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Affectation > x=2+3 > x 5

R Objects

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vector

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matrix

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array

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data.frame

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list

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ts

Vector Several ways to create vectors I

Concatenation by c() > x=c(1,3,5) > x 1 3 5 > y=c(2,4,6) > z=c(1,y) > z 1 2 4 6

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Sequence > 1:6 1 2 3 4 5 6 > 1.5:6 1.5 2.5 3.5 4.5 5.5 > seq(1,6) 1 2 3 4 5 6

Vector

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Sequence > seq(1,6,by=2) 1 3 5

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Repeat > rep(1,4) 1 1 1 1

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Sub-vector > x[2] 3 > x[2:3] 3 5

Vector I

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Sub-vector > x[2] 3 > x[2:3] 3 5 Sub-vector with conditions > vect=1:10 > vect[vect>6] > vect[(vect>6) | (vect vect[(vect>6) | (vect x+y 3 7 11 > x+z 2 5 9 7 Warning: cyclical completion

Matrix

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Creation from a vector by matrix() > Xmat=matrix(c(1,3,5,7,9,11),nrow=3) > matrix(c(1,3,5,7,9,11),ncol=3) > matrix(c(1,3,5,7,9,11),nrow=3,byrow=T)

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Sub-matrix > Xmat[,1] 3 7 11 > Xmat[2,] 5 7 > Xmat[2:3,] 5 7 9 11

> > > > > 1

matrix(c(1,3,5,7,9,11),ncol=3) matrix(c(1,3,5,7,9,11),nrow=3,byrow=T) y=c(2,4,6) z=c(1,y) z 2 4 6