I am trying to construct a new matrix Y that has the reordered elements of
each column of matrix X, to match the rank order of the corresponding
columns of matrix T.
For example:
X T
6 1
9 -1
2 -2
4 2
7 0
So the ascending order of T is (2, 4, 5, 1, 3)
Therefore, the first element of Y will be the 2nd element of X, the second
the 4th, the third the 5th, the fourth the 1st, and the fifth the 3rd.
Resulting in:
Y
9
4
7
6
2
Is there an easy way to reorder the elements of X based on the rank order of
T?
Below is the code I am using for X (hog futures prices) and T (transformed
van der Waerden scores).
Thanks,
Scott
*Iman and Conover (1982) method
*Example using hog futures prices
clear
qui {
input hog_7 hog_8 hog_10 hog_12
60.88 53.8 61.04 53.11
72.39 55.51 46.49 54.52
62.02 50.96 45.58 56.11
63.19 62.67 51.36 42.38
62.26 55.36 51.99 53.24
62.88 63.12 69.97 47.46
82.92 71.71 64.72 50.74
53.55 55.15 60.06 47.26
64.98 64.67 48.46 64.49
68.76 71.94 53.13 48.23
66.17 62.34 48.07 55.49
68.86 72.64 49.12 40.78
60.91 54.44 55.06 42.66
53.08 56.96 41.61 39.62
60.7 53.1 46.47 41.12
52.99 62.4 47.97 36.38
63.94 54.09 42.23 61.66
70.31 65.71 48.66 48.2
52.17 54.48 56.85 55.46
59.68 72.63 48.71 48.05
end
spearman, matrix
matrix C = r(Rho)
matrix C = cholesky(C)'
}
mata
X= st_data( ., .)
C= st_matrix("C")
score1 = (1..20)'
score1 = invnormal(score1/21)
jum = jumble(score1)
scores = (score1, jum)
jum = jumble(score1)
scores = (scores,jum)
jum = jumble(score1)
scores = (scores,jum)
E = scores'*scores
F = cholesky(E/E[1,1])
T = scores*invsym(F)*C
st_matrix("r(T)",T)
end
*
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