Ryan,

Just to add:

1) Part IV of "A Discussion of Time Series Objects for R in Finance" covers
some performance comparisons amongst the major time series libraries:
https://www.rmetrics.org/ebooks-tseries.
2) Not included is Whit Armstrong's fts package, which is based on his C++
time series library, and may be as fast or faster than the other packages:
http://cran.r-project.org/web/packages/fts/index.html.  It is not as popular
as those other packages, but I imagine that Whit could provide some
additional detail.

That being said, xts is a very good choice thanks to its performance,
breadth of functionality, and wide adoption.

Thanks,
Shane


On Wed, Jan 19, 2011 at 8:32 AM, Dirk Eddelbuettel <edd@debian.org> wrote:

>
> Hi Ryan,
>
> On 19 January 2011 at 08:08, Sheftel, Ryan wrote:
> | I am looking for a comparison of the performance speed between xts and
> | zoo on time series. I remember once seeing this in a pdf document,
> | perhaps a magazine article?, but after extensive google-ing I have come
> | up blank.
> |
> | Any direction would be helpful before I reproduce the results myself.
>
> xts is faster, period, as zoo started as more general (than just financial
> time series: "ordered objects") and is still R-code only. And as Gabor just
> restated, that is bound to change with some xts code expected to merge over
> to zoo at some point---though we have been told that for years.
>
> Xts on the other hand has compiled C and Fortran code for key operations
> making it very fast (and generally faster than zoo), as well as powerful.
> One example is the ISO8601 date parsing which can subset based on
> human-readable strings such as "2011-01-18 10:00/2011-01-19 10:30" getting
> you just that half-hour interval yesterday on intra-day data in an xts
> object. So in short, I usually start projects with xts.
>
> As for blazing fast, Jeff also has the 'indexing' package (as well as
> 'mmap')
> which go even further, and both together are competitive in access time
> with
> commercial offerings. Maybe you recall a writeup Jeff did for that?  I
> can't
> recall a xts-vs-zoo horse race but maybe I missed it.
>
> Hope this helps,  Dirk
>
> --
> Dirk Eddelbuettel | edd@debian.org | http://dirk.eddelbuettel.com
>
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