I make quite a lot of use of irregular time-series, and had already spent a
bit of time writing an 'its' class when the 'irts' class was released via
the package 'tseries'.
I have experimented with the 'irts' class, and have some practical issues
with its use. In some applications of irregular time-series (in my case
these are financial and econometric) there are many instances where it is
useful to consider them as an extension (subclass) of the class 'matrix',
using S4 class inheritance. This is also useful in printing.
The 'its' class I have written is an S4 extension of the matrix class, using
a single slot for a POSIX dates vector, which time-indexes the rows. The
practical advantage of this, compared to the 'irts' class, is that the
matrix methods are inherited.
In addition to file operations and some simple functions, I have also
written a number of method extensions for this 'its' class, including [.its,
[[.its, intersect, union, diff, lag.
Is there value in such a package, given the resemblance of 'its' to the
existing 'irts' class? I would be happy to contribute it, and provide some
maintenance.
Giles Heywood
Senior Quantitative Analyst
Commerzbank Securities
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