[R] how apply.monthly() in package xts works

[Joshua Ulrich]

On Thu, Mar 9, 2017 at 3:46 PM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
> On Thu, Mar 9, 2017 at 3:31 PM, Waichler, Scott R
> <Scott.Waichler at 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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>> 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