[R-SIG-Finance] [R-sig-finance] Problem using stl() on data from quantmod

[Wind2]

It seems that I should learn more on freq to understand stl() better.
Thanks Gabor.

Regards,
Wind


Gabor Grothendieck wrote:
> 
> stl requires that a fixed frequency be specified.
> 
> On Mon, Dec 29, 2008 at 10:30 AM, Wind2 <windspeedo at qq.com> wrote:
>>
>> ts(IBM, freq = 250)[, 4]
>> makes stl() OK.
>>
>> I wonder the purpose of freq=250.   If IBM indeed contains different
>> number
>> of data each year, say, 255 data one year and 252 data for another, is it
>> still propriate to use freq=250?
>>
>> I tried to set freq=1 while using start to specify the start date.   But
>> don't know how to set start to a specific date.
>>
>> Thanks Gabor.
>>
>> Regards,
>> Wind
>>
>>
>> Gabor Grothendieck wrote:
>>>
>>> Try this:
>>>
>>> library(quantmod)
>>> getSymbols("IBM")
>>> xx <- ts(IBM, freq = 250)[, 4]
>>> xx <- na.approx(xx)
>>> plot(stl(log(xx), s.window = "period"))
>>>
>>>
>>> On Mon, Dec 29, 2008 at 8:45 AM, Wind <windspeedo at qq.com> wrote:
>>>> With the following code,
>>>>
>>>> getSymbols("^GSPC")
>>>> xx<-as.ts(GSPC[,4])
>>>> xx<-na.approx(xx)
>>>> plot(stl(log(xx),s.window="period"))
>>>>
>>>> There is an error:
>>>> Error in stl(log(xx), s.window = "period") :
>>>>  only univariate series are allowed
>>>>
>>>>> str(log(xx))
>>>>  ts [1:724, 1] 7.26 7.26 7.25 7.25 7.25 ...
>>>>  - attr(*, "dimnames")=List of 2
>>>>  ..$ : NULL
>>>>  ..$ : chr "GSPC.Close"
>>>>  - attr(*, "tsp")= num [1:3] 13516 14239     1
>>>>
>>>> It seems that the structure of xx is a little complicated.   But I
>>>> still
>>>> don't know how to trim it to the simplest ts format.
>>>>
>>>> Regards,
>>>> Wind
>>>>
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>>>
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