On Thu, Mar 9, 2017 at 3:46 PM, Joshua Ulrich <josh.m.ulr...@gmail.com> wrote:
> On Thu, Mar 9, 2017 at 3:31 PM, Waichler, Scott R
> <scott.waich...@pnnl.gov> wrote:
>> Hi,
>>
>> I found that apply.monthly() in xts does not work as I expected in the case
>> of a sparse timeseries:
>>
>> my.dates <- as.Date(c("1992-06-01", "1992-06-24", "1992-06-30",
>> "1993-06-22", "1994-06-07", "1995-06-08"))
>> my.xts <- xts(1:6, my.dates)
>> start(my.xts) # "1992-06-24"
>> end(my.xts) # "1995-06-08"
>> apply.monthly(my.xts, mean)
>> # [,1]
>> # 1995-06-08 3.5
>>
>> The endpoints it chooses are based on looking at the month (June) alone. I
>> was able to get a value for each (month, year) in the timeseries with the
>> following use of aggregate():
>>
> Thanks for the minimal, reproducible example! This is clearly a bug.
>
Now formally documented as such:
https://github.com/joshuaulrich/xts/issues/169
>> my.months <- months(my.dates)
>> my.years <- years(my.dates)
>> df1 <- data.frame(x = coredata(my.xts), dates = my.dates, months =
>> my.months, years = my.years)
>> df2 <- aggregate(df1[-c(3,4)], df1[c("months", "years")], mean)
>> xts(df2$x, df2$dates)
>> # [,1]
>> # 1992-06-18 2
>> # 1993-06-22 4
>> # 1994-06-07 5
>> # 1995-06-08 6
>>
>> Two questions:
>> 1) Is there a more elegant way to do this?
>
> Create your own endpoints until endpoints() is fixed. Here's a quick
> hack, off the top of my head:
>
> endpointsMonthHack <- function(x, on = "months", k = 1) {
> # yearmon index
> ymIndex <- as.yearmon(index(x))
> # month changes
> monthDiff <- c(0, diff(ymIndex))
> # locations in index
> locations <- which(monthDiff != 0)
> ep <- c(0, locations, nrow(x))
> unique(ep)
> }
>
The function above is wrong. That's what I get for posting without
actually running the code. Here's a function that's actually tested
(only on this example though):
endpointsMonthHack <- function(x, on = "months", k = 1) {
# yearmon index
ymIndex <- as.yearmon(index(x))
# month change locations
locations <- which(diff(ymIndex) != 0)
# endpoints
ep <- c(0, locations, nrow(x))
unique(ep)
}
>> 2) Shouldn't the xts documentation discuss the problem of sparse data?
>
> No, because it shouldn't be a problem. :)
>
>>
>> Regards,
>> Scott Waichler
>> Pacific Northwest National Laboratory
>> Richland, WA USA
>>
>> ______________________________________________
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>> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>
>
>
> --
> Joshua Ulrich | about.me/joshuaulrich
> FOSS Trading | www.fosstrading.com
> R/Finance 2017 | www.rinfinance.com
--
Joshua Ulrich | about.me/joshuaulrich
FOSS Trading | www.fosstrading.com
R/Finance 2017 | www.rinfinance.com
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