[R-SIG-Finance] Timeseries data, lattice, and model formulas?

Gabor Grothendieck ggrothendieck at gmail.com
Fri Jul 6 06:09:57 CEST 2007

On 7/5/07, icosa atropa <icos.atropa at gmail.com> wrote:
> Hello All,
> I'm using R for a rather large, multivariate timeseries dataset of ~4
> million records.  So far I've divided the set and used conventional
> data frames with good success at visualizing, summary statistics, etc.
> I've experimented with dedicated timeseries packages like its and zoo
> for more complicated analysis, but support for things like factors,

Don't know what you are looking for with respect to factors but if you create
a zoo object from a factor it remembers where it came from:

   > zf <- zoo(factor(c(1,1,2)))
   > class(zf)
   [1] "zoo"
   > str(zf)
   atomic [1:3] 1 1 2
    - attr(*, "levels")= chr [1:2] "1" "2"
    - attr(*, "oclass")= chr "factor"
    - attr(*, "index")= int [1:3] 1 2 3

> lattice and

zoo explicitly supports lattice with xyplot.zoo, e.g.


> model formulas seems lacking.  Am I missing something, or

In conjuction with dyn or dynlm zoo supports model formula:

z <- zoo(rnorm(10))
dyn$lm(z ~ lag(z, -1))

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