[R] window?

Wed Nov 9 15:15:06 CET 2011

Thank you.

I am glad I asked. It wasn't giving answers that I expected and now I 
know why.

Rather than pull in another package just for this functionality, I will 
just reassign the frequency by generating a new time series like:

dswin <- window(ds, start=..., end=...)
dswin <- ts(dswin, frequency=1)

That should work shouldn't it?

Thanks again.

Kevin

On Tue, Nov 8, 2011 at 9:40 PM, R. Michael Weylandt wrote:

> Like Denis said, you are asking ts to do things that don't make sense;
> in particular, some of your statements suggest you don't fully
> understand what window does or what its frequency argument does.
> Specifically, when you set frequency = 1 in window, that doesn't mean
> take a window and treat it as if it has frequency 1; rather take the
> subseries corresponding to yearly observations. Since 53 is prime,
> there is no regular subseries you can extract with window() other than
> the original series and the yearly series.  ts objects are required to
> have a frequency so statements like "now that I am taking a subset
> there is no frequency" don't really make sense.
>
> Take a look at these examples:
>
> ## Create some working data
> ds.53 <- ts(rnorm(53*2), frequency=53, start=c(2000,10))
> ds.48 <- ts(rnorm(48*2), frequency = 48, start = c(2000,10))
>
> ## These all work
> window(ds.53, frequency = 1) # Returns elements 1 & 54 of ds.53
> window(ds.53, frequency = 53) # Returns every element of ds.53
>
> window(ds.48, frequency = 1) # Returns elements 1 & 54 of ds.53
> window(ds.48, frequency = 12) # Returns elements seq(1, 48, by = 4) of 
> ds.48
> window(ds.48, frequency = 48) # Returns every element of ds.48
>
> ## These don't
> window(ds.53, frequency = 7)
> window(ds.48, frequency = 9)
>
> Here's how you could do the same with xts.
>
> library(xts)
> library(forecast)
> x = xts(rnorm(53*2), Sys.Date() + 365*seq(0, 2, by = 1/53))
> ets(x) # Auto-conversion to ts
>
> Michael
>
>
> On Tue, Nov 8, 2011 at 8:19 PM, Kevin Burton 
> <rkevinburton at charter.net> wrote:
>> The problem is when I use the window function an try to extract a 
>> subset of
>> the time series an specify the frequency as 1 (not only will ets not 
>> take a
>> time series with a frequency greater than 24, now that I am taking a 
>> subset
>> there is no frequency so I would like to set it to 1 (which is one of 
>> the
>> arguments to the window function) but it does not produce what I 
>> expect.
>> That is the problem.  I fail to see the relationship of the 
>> discussion of
>> what frequency is and how to use the forecast package with this 
>> problem.
>>
>> -----Original Message-----
>> From: Dennis Murphy [mailto:djmuser at gmail.com]
>> Sent: Tuesday, November 08, 2011 6:20 PM
>> To: Kevin Burton
>> Cc: R. Michael Weylandt; r-help at r-project.org
>> Subject: Re: [R] window?
>>
>> The ets() function in the forecast package requires either a numeric 
>> vector
>> or a Time-Series object (produced from ts()). The frequency argument 
>> in ts()
>> refers to the time duration between observations; e.g., frequency = 7 
>> means
>> that the data are weekly; frequency = 12 means that the data are 
>> monthly;
>> frequency = 4 means that the data are quarterly. You can see this 
>> from the
>> examples on the help page of ts:
>> ?ts at the R prompt.
>>
>> The example associated with the forecast::ets() function uses the
>> USAccDeaths data:
>>
>> data(USAccDeaths)
>> USAccDeaths   ## monthly data for six years
>> # Simulate the same structure with ts:
>> u <- ts(rnorm(72), start = c(1973, 1), frequency = 12) u
>>
>> # Evidently you want to produce a multivariate series; # here's one 
>> way with
>> monthly frequency:
>> v <- ts(matrix(rnorm(106), ncol = 2), start = c(2001, 1), frequency = 
>> 12) v
>>
>> Is that more or less what you were after?
>>
>> Dennis
>>
>> On Tue, Nov 8, 2011 at 2:04 PM, Kevin Burton 
>> <rkevinburton at charter.net>
>> wrote:
>>> I expect the frequency to be set to what I set it at and the window 
>>> to
>>> return all of the data in the window from the original time series.
>>> The error is not because it is prime. I can generate a time series
>>> with just 52 values (or 10) and it still occurs. I am building these
>>> objects for use with the 'forecast' packages and one of the methods
>>> 'ets' cannot handle a frequency above 24 so I set it (or try to) to 
>>> 1.
>>> Will 'window' take z zoo or xts object? Can I convert from zoo or 
>>> xts to
>> ts?
>>>
>>> -----Original Message-----
>>> From: R. Michael Weylandt [mailto:michael.weylandt at gmail.com]
>>> Sent: Tuesday, November 08, 2011 2:28 PM
>>> To: Kevin Burton
>>> Cc: r-help at r-project.org
>>> Subject: Re: [R] window?
>>>
>>> I'm not entirely sure that your request makes sense: what do you
>>> expect the frequency to be? It makes sense to me as is...Might your
>>> troubles be because
>>> 53 is prime?
>>>
>>> More generally, most people don't like working with the raw ts class
>>> and prefer the zoo or xts packages because they are much more 
>>> pleasant
>>> for most time series work. You might want to take a look into those.
>>>
>>> Michael
>>>
>>> On Tue, Nov 8, 2011 at 3:18 PM, Kevin Burton
>>> <rkevinburton at charter.net>
>>> wrote:
>>>> This doesn't seem to work:
>>>>
>>>>
>>>>
>>>>> d <- rnorm(2*53)
>>>>
>>>>> ds <- ts(d, frequency=53, start=c(2000,10))
>>>>
>>>>> dswin <- window(ds, start=c(2001,1), end=c(2001,10), frequency=1)
>>>>
>>>>> dswin
>>>>
>>>> Time Series:
>>>>
>>>> Start = 2001
>>>>
>>>> End = 2001
>>>>
>>>> Frequency = 1
>>>>
>>>> [1] 1.779409
>>>>
>>>>
>>>>
>>>>> dswin <- window(ds, start=c(2001,1), end=c(2001,10))
>>>>
>>>>> dswin
>>>>
>>>> Time Series:
>>>>
>>>> Start = c(2001, 1)
>>>>
>>>> End = c(2001, 10)
>>>>
>>>> Frequency = 53
>>>>
>>>>  [1]  1.7794090  0.6916779 -0.6641813 -0.7426889 -0.5584049
>>>> -0.2312959
>>>>
>>>> [7] -0.0183454 -1.0026301  0.4534920  0.6058198
>>>>
>>>>>
>>>>
>>>>
>>>>
>>>> The problem is that when the frequency is specified only one value
>>>> shows up in the window. When no frequency is specified I get all 10
>>>> values but now the time series has a frequency that I don't want.
>>>>
>>>>
>>>>
>>>> Comments?
>>>>
>>>>
>>>>
>>>> Kevin
>>>>
>>>>
>>>>
>>>>
>>>>        [[alternative HTML version deleted]]
>>>>
>>>> ______________________________________________
>>>> R-help at r-project.org mailing list
>>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>>> PLEASE do read the posting guide
>>>> http://www.R-project.org/posting-guide.html
>>>> and provide commented, minimal, self-contained, reproducible code.
>>>>
>>>
>>> ______________________________________________
>>> R-help at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>> PLEASE do read the posting guide
>>> http://www.R-project.org/posting-guide.html
>>> and provide commented, minimal, self-contained, reproducible code.
>>>
>>
>>