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# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library 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 Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
################################################################################
# FUNCTION: DESCRIPTION:
# assetsDendrogramPlot Displays hierarchical clustering dendrogram
# assetsCorEigenPlot Displays ratio of the largest two eigenvalues
################################################################################
assetsDendrogramPlot <-
function(x, labels = TRUE, title = TRUE, box = TRUE,
method = c(dist = "euclidian", clust = "complete"), ...)
{
# A function implemented by Diethelm Wuertz
# Description:
# Displays hierarchical clustering dendrogram
# FUNCTION:
# Compute Distance Matrix:
if (class(x) == "dist") {
DIST = x
} else {
X = t(series(x))
DIST = dist(X, method[1])
}
# Hierarchical Clustering:
ans = hclust(DIST, method = method[2])
# Plot Dendrogram:
if (labels) {
plot(ans, xlab = "", main = "", sub = "", ...)
mtext(paste(
"Distance Method:", method[1], " | ",
"Clustering Method:", method[2]),
side = 4, line = 0.1, adj = 0, col = "darkgrey")
} else {
plot(ans, ann = FALSE, ...)
}
# Add Box:
if (box) {
box()
}
# Add Optional Title:
if (title) {
title(main = "Dendrogram", sub = "", xlab = "", ylab = "Heights")
}
# Return Value:
invisible(list(dist = DIST, hclust = ans))
}
# ------------------------------------------------------------------------------
assetsCorEigenPlot <-
function(x, labels = TRUE, title = TRUE, box = TRUE,
method = c("pearson", "kendall", "spearman"), ...)
{
# A function implemented by Diethelm Wuertz
# Description:
# Displays ratio of the largest two eigenvalues
# Arguments:
# x - a timeSeries object or any other rectangular object
# which can be transformed by the function as. matrix
# into a numeric matrix.
# Example:
# assetsCorEigenPlot(x=100*as.timeSeries(data(LPP2005REC)))
# FUNCTION:
# Settings:
stopifnot(is.timeSeries(x))
x = series(x)
method = match.arg(method)
# Plot:
x.cor = cor(x, use = 'pair', method = method)
x.eig = eigen(x.cor)$vectors[, 1:2]
e1 = x.eig[, 1]
e2 = x.eig[, 2]
plot(e1, e2, col = 'white', ann = FALSE,
xlim = range(e1, e2), ylim = range(e1, e2), ...)
abline(h = 0, lty = 3, col = "grey")
abline(v = 0, lty = 3, col = "grey")
arrows(0, 0, e1, e2, cex = 0.5, col = "steelblue", length = 0.1)
text(e1, e2, rownames(x.cor), ...)
# Labels:
if (labels) {
mtext(method, side = 4, adj = 0, cex = 0.7, col = "grey")
}
# Add Box:
if (box) {
box()
}
# Add Title:
if(title) {
title(main = "Eigenvalue Ratio Plot", sub = "",
xlab = "Eigenvalue 1", ylab = "Eigenvalue 2")
}
# Return Value:
invisible()
}
################################################################################
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