[Rd] Maybe bug? Using non-integer frequencies in stats::ts

[Duncan Murdoch]

I've now posted this as an enhancement request:

https://bugs.r-project.org/bugzilla/show_bug.cgi?id=17669

On 06/12/2019 12:35 p.m., Duncan Murdoch wrote:
> To R-devel:
> 
> I've sent this to Johann privately already; just in case anyone else is
> interested in this issue, here's what I wrote:
> 
> Just started looking into it, and discovered this paragraph in ?ts:
> 
> "The value of argument frequency is used when the series is sampled an
> integral number of times in each unit time interval. For example, one
> could use a value of 7 for frequency when the data are sampled daily,
> and the natural time period is a week, or 12 when the data are sampled
> monthly and the natural time period is a year. Values of 4 and 12 are
> assumed in (e.g.) print methods to imply a quarterly and monthly series
> respectively."
> 
> That says that frequency will be a positive integer, so frequency=0.2
> was not intended to be covered, and I'd say it's not exactly a bug that
> it doesn't work.  (It might be called a bug that there's no error message.)
> 
> On the other hand, it comes close to working, and it seems like allowing
> frequency=0.2 would be a useful addition.  I'm going to keep looking,
> and see how hard it would be to get this to work properly.  If it
> doesn't break other things, I may submit this as an enhancement.
> 
> Duncan Murdoch
> 
> 
> On 06/12/2019 10:00 a.m., Johann R. Kleinbub wrote:
>> Thank you for the quick follow up, Duncan.
>> Unfortunately extend=TRUE is called internally in various instances such as
>> when replacing parts of the time-series with  window<-.ts
>> Consider the following examples of time series with ugly values:
>> x = 1:22
>> foo = ts(x, start = 1.5, end = 106.5, frequency = 0.2) # a ts of 525 cycles
>> bar = ts(x, start = 2.5, end = 107.5, frequency = 0.2) # a ts of 525 cycles
>> starting 5 cycles later than foo
>> qux = ts(x, start = 2.5, end = 102.5, frequency = 0.2) # a ts of 500 cycles
>> starting 5 cycles later than foo
>>
>> # extraction works fine
>> window(foo, start = 20, end = 30)  # works fine
>> window(bar, start = 20, end = 30)  # works fine
>> window(qux, start = 20, end = 30)  # works fine
>>
>> # assignment fails in different ways for bar and qux
>> window(foo, start = 20, end = 30) <- NA  # works fine
>> window(bar, start = 20, end = 30) <- NA  # ERROR: "invalid time series
>> parameters specified"
>> window(qux, start = 20, end = 30) <- NA  # ERROR: "times to be replaced do
>> not match"
>>
>> If extraction works fine, there's no reason why replacing the values should
>> fail.
>> I don't have an account on bugs.r-project.org yet. I'd be available to do
>> the report if I'm assigned one.
>> Best,
>> Johann
>>
>> On Thu, 5 Dec 2019 at 17:46, Duncan Murdoch <murdoch.duncan using gmail.com>
>> wrote:
>>
>>> On 05/12/2019 11:00 a.m., Johann R. Kleinbub wrote:
>>>> It's been three months without an answer, is it ok to thread bump?
>>>> Would someone provide a pointer?
>>>
>>> I agree it's a bug, and agree with your analysis.  You should report it
>>> on bugs.r-project.org.  (If you don't have an account there, let us
>>> know, and either someone will give you one, or someone will report it
>>> for you.)
>>>
>>> As a workaround, I don't see it happening with extend=FALSE, but of
>>> course that might not suit your needs in general.
>>>
>>> Duncan Murdoch
>>>
>>>
>>>
>>>>
>>>> Thank you for your consideration,
>>>> Johann
>>>>
>>>>
>>>> On Mon, 16 Sep 2019 at 15:53, Johann R. Kleinbub <
>>> johann.kleinbub using gmail.com>
>>>> wrote:
>>>>>
>>>>> I am developing a package to analyse physiological time-series and I
>>>> thought that the most reliable and robust solution was to base it on the
>>>> native stats::ts class. In my domain it is common to express series
>>>> frequencies as samples-per-second. So ts(..., frequency=10) would mean a
>>>> signal sampled 10 times every second, and ts(..., frequency = 1) a signal
>>>> sampled every second. Following this logic, a few slower signals are
>>>> sampled every 5 seconds (or more), resulting in a frequency of e.g. 0.2
>>>>> Nowhere in the documentation is stated that the frequency must be an
>>>> integer value, but using fractional values gives inconsistent results.
>>>>> For instance, in this example, foo and bar are identical, just with
>>>> start-end values shifted by 1. Yet when extracting an arbitrary window,
>>> the
>>>> 'bar' series gives error.
>>>>>
>>>>> x = 1:22
>>>>> foo = ts(x, start = 1.5, end = 106.5, frequency = 0.2)
>>>>> bar = ts(x, start = 2.5, end = 107.5, frequency = 0.2)
>>>>>
>>>>> window(foo, start = 20, end = 30, extend=TRUE)
>>>>>
>>>>> # Time Series:
>>>>> # Start = 20
>>>>> # End = 25
>>>>> # Frequency = 0.2
>>>>> # [1] 5 6
>>>>>
>>>>> window(bar, start = 20, end = 30, extend=TRUE)
>>>>>
>>>>> # Error in attr(y, "tsp") <- c(ystart, yend, xfreq) :
>>>>> #   invalid time series parameters specified
>>>>>
>>>>> The reason is in the rounding procedures for ystart and yend at the end
>>>> of the stats::window function. For the 'foo' series the ystart and yend
>>>> values are calculated as: c(20, 25), whereas for the 'bar' series, they
>>>> become c(20, 30) although the window should be of the very same size in
>>>> both cases. (A further discussion on the example is at:
>>>> https://stackoverflow.com/questions/57928054 )
>>>>> Should I report a bug or am I misunderstanding something?
>>>>>
>>>>> --
>>>>> Johann R. Kleinbub, PhD
>>>>> University of Padova
>>>>> FISPPA Dep. - Section of Applied Psychology
>>>>> Cell: +39 3495986373
>>>>
>>>>
>>>>
>>>> --
>>>> Johann R. Kleinbub, PhD
>>>> University of Padova
>>>> FISPPA Dep. - Section of Applied Psychology
>>>> Cell: +39 3495986373
>>>>
>>>>         [[alternative HTML version deleted]]
>>>>
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>>>>
>>>
>>>
>>
>