[R] Could someone recommend a package for time series?
Hi, I've not used R for about one year and don't know well about the updates on the time series-related package. My primary job is to do economic/financial time series data analysis - annual, monthly, daily, etc. I usually read data by the package XLConnect, which can read xls or xlsx files directly. It's excellent. However I can't find a package to manipulate time series data. For example, I just want to do an easy manipulation , e.g, to label the dates of the data from , say, 1991M10 to 2014M07, and then extract part of the data, say, 2005M01 to 2010M12 and do analysis. Is there any package work well for my purpose? I sometimes need to aggregate monthly data to quarterly data and I find aggregate function helpful. In the past I used packages xts, zoo and don't find it really user friendly. Maybe I haven't mastered it; maybe there're some updates (which I don't know) now. Could someone recommend a package or provide an example (or just the document, I can read it) for my purpose? Attached is an exemplary data set I talked about. Thanks, Miao __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Could someone recommend a package for time series?
Hi Miao, You certainly will find useful answers here : http://cran.r-project.org/web/views/TimeSeries.html Regards, Pascal Oettli On Mon, Sep 29, 2014 at 6:05 PM, jpm miao miao...@gmail.com wrote: Hi, I've not used R for about one year and don't know well about the updates on the time series-related package. My primary job is to do economic/financial time series data analysis - annual, monthly, daily, etc. I usually read data by the package XLConnect, which can read xls or xlsx files directly. It's excellent. However I can't find a package to manipulate time series data. For example, I just want to do an easy manipulation , e.g, to label the dates of the data from , say, 1991M10 to 2014M07, and then extract part of the data, say, 2005M01 to 2010M12 and do analysis. Is there any package work well for my purpose? I sometimes need to aggregate monthly data to quarterly data and I find aggregate function helpful. In the past I used packages xts, zoo and don't find it really user friendly. Maybe I haven't mastered it; maybe there're some updates (which I don't know) now. Could someone recommend a package or provide an example (or just the document, I can read it) for my purpose? Attached is an exemplary data set I talked about. Thanks, Miao __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. -- Pascal Oettli Project Scientist JAMSTEC Yokohama, Japan __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Could someone recommend a package for time series?
Thanks Pascal! It certainly helps! 2014-09-29 17:10 GMT+08:00 Pascal Oettli kri...@ymail.com: Hi Miao, You certainly will find useful answers here : http://cran.r-project.org/web/views/TimeSeries.html Regards, Pascal Oettli On Mon, Sep 29, 2014 at 6:05 PM, jpm miao miao...@gmail.com wrote: Hi, I've not used R for about one year and don't know well about the updates on the time series-related package. My primary job is to do economic/financial time series data analysis - annual, monthly, daily, etc. I usually read data by the package XLConnect, which can read xls or xlsx files directly. It's excellent. However I can't find a package to manipulate time series data. For example, I just want to do an easy manipulation , e.g, to label the dates of the data from , say, 1991M10 to 2014M07, and then extract part of the data, say, 2005M01 to 2010M12 and do analysis. Is there any package work well for my purpose? I sometimes need to aggregate monthly data to quarterly data and I find aggregate function helpful. In the past I used packages xts, zoo and don't find it really user friendly. Maybe I haven't mastered it; maybe there're some updates (which I don't know) now. Could someone recommend a package or provide an example (or just the document, I can read it) for my purpose? Attached is an exemplary data set I talked about. Thanks, Miao __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. -- Pascal Oettli Project Scientist JAMSTEC Yokohama, Japan [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Could someone recommend a package for time series?
Hi, the Cran Task View about time series that pascal just send is certainly helpful. Personally I think the standard ts() already can do a lot for you. Apart from that I like zoo particularly if you have other than yearly frequencies like quarterly or even irregular frequencies to handle. This is a pretty nice applied course that uses R for illustration: https://stat.ethz.ch/education/semesters/ss2012/atsa apart from this course, I think Prof. Rob Hyndman (who also has a blog) has a lot of useful stuff to say when it comes time series analysis with R best Matthias Bannert KOF Swiss Economic Institute, Switzerland From: r-help-boun...@r-project.org [r-help-boun...@r-project.org] on behalf of jpm miao [miao...@gmail.com] Sent: Monday, September 29, 2014 11:47 AM To: Pascal Oettli Cc: mailman, r-help Subject: Re: [R] Could someone recommend a package for time series? Thanks Pascal! It certainly helps! 2014-09-29 17:10 GMT+08:00 Pascal Oettli kri...@ymail.com: Hi Miao, You certainly will find useful answers here : http://cran.r-project.org/web/views/TimeSeries.html Regards, Pascal Oettli On Mon, Sep 29, 2014 at 6:05 PM, jpm miao miao...@gmail.com wrote: Hi, I've not used R for about one year and don't know well about the updates on the time series-related package. My primary job is to do economic/financial time series data analysis - annual, monthly, daily, etc. I usually read data by the package XLConnect, which can read xls or xlsx files directly. It's excellent. However I can't find a package to manipulate time series data. For example, I just want to do an easy manipulation , e.g, to label the dates of the data from , say, 1991M10 to 2014M07, and then extract part of the data, say, 2005M01 to 2010M12 and do analysis. Is there any package work well for my purpose? I sometimes need to aggregate monthly data to quarterly data and I find aggregate function helpful. In the past I used packages xts, zoo and don't find it really user friendly. Maybe I haven't mastered it; maybe there're some updates (which I don't know) now. Could someone recommend a package or provide an example (or just the document, I can read it) for my purpose? Attached is an exemplary data set I talked about. Thanks, Miao __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. -- Pascal Oettli Project Scientist JAMSTEC Yokohama, Japan [[alternative HTML version deleted]] __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Could someone recommend a package for time series?
On Mon, Sep 29, 2014 at 5:05 AM, jpm miao miao...@gmail.com wrote: Hi, I've not used R for about one year and don't know well about the updates on the time series-related package. My primary job is to do economic/financial time series data analysis - annual, monthly, daily, etc. I usually read data by the package XLConnect, which can read xls or xlsx files directly. It's excellent. However I can't find a package to manipulate time series data. For example, I just want to do an easy manipulation , e.g, to label the dates of the data from , say, 1991M10 to 2014M07, and then extract part of the data, say, 2005M01 to 2010M12 and do analysis. Is there any package work well for my purpose? I sometimes need to aggregate monthly data to quarterly data and I find aggregate function helpful. In the past I used packages xts, zoo and don't find it really user friendly. Maybe I haven't mastered it; maybe there're some updates (which I don't know) now. Could someone recommend a package or provide an example (or just the document, I can read it) for my purpose? The built in ts class works well with regularly spaced monthly and quarterly data but is less suitable for daily data since it cannot represent exact dates. What you have described is very easy to do with zoo and/or xts. If you are familiar with the core functions of R then zoo is pretty easy to use since nearly all its functions are methods of core generics allowing you to leverage your knowledge of R. See: vignette(zoo-design) for the design principles used and all 5 vignettes: vignette(package = zoo).. xts (which works with zoo) could also be of interest as well as 139 other packages that work with zoo and/or xts which means that in many cases whatever functionality you need already exists. See the bottom of each of these pages for links to the other packages: http://cran.r-project.org/package=zoo http://cran.r-project.org/package=xts Regarding your problem, zoo does have built in yearmon and yearqtr classes for monthly and quarterly data. Here is an example which creates some daily test data, aggregates to monthly, extracts a subset and displays the first few data points. Then it aggregates to quarterly and displays the first few data points At the end it plots the data using zoo's classic graphics plot.zoo method. ( zoo also has direct support for ggplot2 (autoplot.zoo) and lattice graphics (xyplot.zoo).) library(zoo) # create test data, z tt - seq(as.Date(2000-10-01), as.Date(2013-12-31), by = day) z - zoo(seq_along(tt), tt) # aggregate to monthly series and change time scale to year/month zm - aggregate(z, as.yearmon, mean) # extract part of it zm0 - window(zm, start = 2005-01, end = 2010-12) head(zm0) ## Jan 2005 Feb 2005 Mar 2005 Apr 2005 May 2005 Jun 2005 ## 1569.0 1598.5 1628.0 1658.5 1689.0 1719.5 # aggregate to quarterly zq - aggregate(zm0, as.yearqtr, mean) head(zq) ## 2005 Q1 2005 Q2 2005 Q3 2005 Q4 2006 Q1 2006 Q2 ## 1598.500 1689.000 1780.833 1872.500 1963.500 2054.000 plot(zq) __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
