Dear all, I am just getting into R, and I arrive with a task in hand. I need to handle time series of price data, and use them in regressions and cluster models of various kinds. At this time, I am just trying to learn the most graceful ways of working with date-indexed data in R in general. I know of the ts object; however, it seems to assume a very regular periodicity of the data. Unfortunately, price data is usually available not for 7 days a week but for 5, and with omissions for trading holidays, etc. What is the best way to represent this in a ts object? Also, other languages I have worked with have libraries to do things such as date comparison, to derive the day of the week from a date, etc. Does R have such a facility? Or should I farm a task like that to an external tool, such as Python or Perl? Thanks! Pijus -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
handling dates in R
2 messages · Pijus Virketis, Don MacQueen
At 10:47 AM -0500 8/28/02, Pijus Virketis wrote:
Dear all, I am just getting into R, and I arrive with a task in hand. I need to handle time series of price data, and use them in regressions and cluster models of various kinds. At this time, I am just trying to learn the most graceful ways of working with date-indexed data in R in general. I know of the ts object; however, it seems to assume a very regular periodicity of the data. Unfortunately, price data is usually available not for 7 days a week but for 5, and with omissions for trading holidays, etc. What is the best way to represent this in a ts object? Also, other languages I have worked with have libraries to do things such as date comparison, to derive the day of the week from a date, etc. Does R have such a facility? Or should I farm a task like that to an external tool, such as Python or Perl?
R includes functions for handling dates as you describe. Start with the help page for the ISOdatetime function: ?ISOdatetime and that should lead you to additional information. Such as ?DateTimeClasses Also, at http://www.R-project.org/, click on the "Newsletter" link. One of the newsletter has a discussion on the topic (sorry, I don't remember which one).
Thanks! Pijus -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
-Don
-------------------------------------- Don MacQueen Environmental Protection Department Lawrence Livermore National Laboratory Livermore, CA, USA -------------------------------------- -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._