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window?

6 messages · Kevin Burton, R. Michael Weylandt, Dennis Murphy

R. Michael Weylandt
# 
I'm not entirely sure that your request makes sense: what do you
expect the frequency to be? It makes sense to me as is...Might your
troubles be because 53 is prime?

More generally, most people don't like working with the raw ts class
and prefer the zoo or xts packages because they are much more pleasant
for most time series work. You might want to take a look into those.

Michael
On Tue, Nov 8, 2011 at 3:18 PM, Kevin Burton <rkevinburton at charter.net> wrote:
Kevin Burton
# 
I expect the frequency to be set to what I set it at and the window to
return all of the data in the window from the original time series. The
error is not because it is prime. I can generate a time series with just 52
values (or 10) and it still occurs. I am building these objects for use with
the 'forecast' packages and one of the methods 'ets' cannot handle a
frequency above 24 so I set it (or try to) to 1. Will 'window' take z zoo or
xts object? Can I convert from zoo or xts to ts?

-----Original Message-----
From: R. Michael Weylandt [mailto:michael.weylandt at gmail.com] 
Sent: Tuesday, November 08, 2011 2:28 PM
To: Kevin Burton
Cc: r-help at r-project.org
Subject: Re: [R] window?

I'm not entirely sure that your request makes sense: what do you expect the
frequency to be? It makes sense to me as is...Might your troubles be because
53 is prime?

More generally, most people don't like working with the raw ts class and
prefer the zoo or xts packages because they are much more pleasant for most
time series work. You might want to take a look into those.

Michael

On Tue, Nov 8, 2011 at 3:18 PM, Kevin Burton <rkevinburton at charter.net>
wrote:
Dennis Murphy
# 
The ets() function in the forecast package requires either a numeric
vector or a Time-Series object (produced from ts()). The frequency
argument in ts() refers to the time duration between observations;
e.g., frequency = 7 means that the data are weekly; frequency = 12
means that the data are monthly; frequency = 4 means that the data are
quarterly. You can see this from the examples on the help page of ts:
?ts at the R prompt.

The example associated with the forecast::ets() function uses the
USAccDeaths data:

data(USAccDeaths)
USAccDeaths   ## monthly data for six years
# Simulate the same structure with ts:
u <- ts(rnorm(72), start = c(1973, 1), frequency = 12)
u

# Evidently you want to produce a multivariate series;
# here's one way with monthly frequency:
v <- ts(matrix(rnorm(106), ncol = 2), start = c(2001, 1), frequency = 12)
v

Is that more or less what you were after?

Dennis
On Tue, Nov 8, 2011 at 2:04 PM, Kevin Burton <rkevinburton at charter.net> wrote:
Kevin Burton
# 
The problem is when I use the window function an try to extract a subset of
the time series an specify the frequency as 1 (not only will ets not take a
time series with a frequency greater than 24, now that I am taking a subset
there is no frequency so I would like to set it to 1 (which is one of the
arguments to the window function) but it does not produce what I expect.
That is the problem.  I fail to see the relationship of the discussion of
what frequency is and how to use the forecast package with this problem.

-----Original Message-----
From: Dennis Murphy [mailto:djmuser at gmail.com] 
Sent: Tuesday, November 08, 2011 6:20 PM
To: Kevin Burton
Cc: R. Michael Weylandt; r-help at r-project.org
Subject: Re: [R] window?

The ets() function in the forecast package requires either a numeric vector
or a Time-Series object (produced from ts()). The frequency argument in ts()
refers to the time duration between observations; e.g., frequency = 7 means
that the data are weekly; frequency = 12 means that the data are monthly;
frequency = 4 means that the data are quarterly. You can see this from the
examples on the help page of ts:
?ts at the R prompt.

The example associated with the forecast::ets() function uses the
USAccDeaths data:

data(USAccDeaths)
USAccDeaths   ## monthly data for six years
# Simulate the same structure with ts:
u <- ts(rnorm(72), start = c(1973, 1), frequency = 12) u

# Evidently you want to produce a multivariate series; # here's one way with
monthly frequency:
v <- ts(matrix(rnorm(106), ncol = 2), start = c(2001, 1), frequency = 12) v

Is that more or less what you were after?

Dennis

On Tue, Nov 8, 2011 at 2:04 PM, Kevin Burton <rkevinburton at charter.net>
wrote:
ts?
R. Michael Weylandt
# 
Like Denis said, you are asking ts to do things that don't make sense;
in particular, some of your statements suggest you don't fully
understand what window does or what its frequency argument does.
Specifically, when you set frequency = 1 in window, that doesn't mean
take a window and treat it as if it has frequency 1; rather take the
subseries corresponding to yearly observations. Since 53 is prime,
there is no regular subseries you can extract with window() other than
the original series and the yearly series.  ts objects are required to
have a frequency so statements like "now that I am taking a subset
there is no frequency" don't really make sense.

Take a look at these examples:

## Create some working data
ds.53 <- ts(rnorm(53*2), frequency=53, start=c(2000,10))
ds.48 <- ts(rnorm(48*2), frequency = 48, start = c(2000,10))

## These all work
window(ds.53, frequency = 1) # Returns elements 1 & 54 of ds.53
window(ds.53, frequency = 53) # Returns every element of ds.53

window(ds.48, frequency = 1) # Returns elements 1 & 54 of ds.53
window(ds.48, frequency = 12) # Returns elements seq(1, 48, by = 4) of ds.48
window(ds.48, frequency = 48) # Returns every element of ds.48

## These don't
window(ds.53, frequency = 7)
window(ds.48, frequency = 9)

Here's how you could do the same with xts.

library(xts)
library(forecast)
x = xts(rnorm(53*2), Sys.Date() + 365*seq(0, 2, by = 1/53))
ets(x) # Auto-conversion to ts

Michael
On Tue, Nov 8, 2011 at 8:19 PM, Kevin Burton <rkevinburton at charter.net> wrote: