R中的滚动马哈拉诺比斯距离

时间:2018-06-20 14:42:02

标签: r mahalanobis

我正在尝试编码滚动的马哈拉诺比斯距离,但是我有一些警告,它会导致错误的支出

Outpout = as.data.frame(NULL)
i = 1
window = 252
logret_df = as.data.frame(log_ret)
colnames(logret_df) = rownames(logret_df) = NULL

while (i < nrow(logret_df) - window) {
    maha_dist = mahalanobis(logret_df[i:(i + window),], rowMeans(logret_df[i:(i+window),]), cov(logret_df[i:(i + window),]))
    Outpout = rbind(Outpout, maha_dist)
    i = i + 1
}

这就是我的50 or more warnings (use warnings() to see the first 50

In sweep(x, 2L, center) : STATS is longer than the extent of 'dim(x)[MARGIN]

dim(logret_df)
 2464   50

有什么想法吗?谢谢

0 个答案:

没有答案