seriesMerge

Is there a function in R that is equivalent to S-PLUS's 
seriesMerge(x1, x2, pos="union")
where x1, and x2 are of class timeSeries

seriesMerge is in S-PLUS's finmetrics. I looked into R's mergeSeries
(in fSeries part of Rmetrics) but I could not make it behave quite the
same. In R it expected a timeSeries object and a matrix of the same
row count. In S-PLUS when using the union option both objects can be
of different lengths.

The its (short for irregular timeseries) package has union() and
intersect(). The zoo package also some functions for this, I think.

Topics like this get discussed a bit on the r-sig-finance list, you may want
to glance at the archives or do some conditional googleing.

Hth, Dirk

If your hair is standing up, then you are in extreme danger.
      -- http://www.usafa.af.mil/dfp/cockpit-phys/fp1ex3.htm

Yasser El-Zein <abu3ammar <at> gmail.com> writes:

: 
: Is there a function in R that is equivalent to S-PLUS's 
: seriesMerge(x1, x2, pos="union")
: where x1, and x2 are of class timeSeries
: 
: seriesMerge is in S-PLUS's finmetrics. I looked into R's mergeSeries
: (in fSeries part of Rmetrics) but I could not make it behave quite the
: same. In R it expected a timeSeries object and a matrix of the same
: row count. In S-PLUS when using the union option both objects can be
: of different lengths.

merge.zoo in package zoo handles union, intersection, left
and right join of unequal length time series according to the 
setting of the all= argument.  zoo can also work with chron dates 
and times which would allow you to work with your millisecond data
and can also merge more than two series at a time.   (The its 
package (see ?itsJoin) and for regular time series, cbind.ts, also 
support merging unequal length series but neither of these support 
chron which I gather is a requirement for you.)

eg. zoo example.
In the following x has  length 8 and y has length 6 and
they overlap for chron(5:8).  chron(1:4) only belongs
to x and chron(9:10) only belongs to y.

library(chron)
library(zoo)
x <- zoo(1:8, chron(1:8)) 
y <- zoo(5:10, chron(5:10))
merge(x,y) # union
merge(x,y,all=FALSE) # intersection
merge(x,y,all=c(FALSE, TRUE)) # right join
merge(x,y,all=c(TRUE, FALSE)) # left join

I want to merge two timeSeries (union) and get a resulting timeSeries.
using union or merge I got a data.frame and when I tried to convert it
to timeSeries the data was corrupt. Is there a more straight forward
way to take two timeSeries and merege them for a resulting timeSeries
of the union of both?


On Thu, 25 Nov 2004 03:50:28 +0000 (UTC), Gabor Grothendieck

Yasser El-Zein <abu3ammar <at> gmail.com> writes:

:
: Is there a function in R that is equivalent to S-PLUS's


: seriesMerge(x1, x2, pos="union")
: where x1, and x2 are of class timeSeries
:
: seriesMerge is in S-PLUS's finmetrics. I looked into R's mergeSeries
: (in fSeries part of Rmetrics) but I could not make it behave quite the
: same. In R it expected a timeSeries object and a matrix of the same
: row count. In S-PLUS when using the union option both objects can be
: of different lengths.

merge.zoo in package zoo handles union, intersection, left
and right join of unequal length time series according to the
setting of the all= argument.  zoo can also work with chron dates
and times which would allow you to work with your millisecond data
and can also merge more than two series at a time.   (The its
package (see ?itsJoin) and for regular time series, cbind.ts, also
support merging unequal length series but neither of these support
chron which I gather is a requirement for you.)

eg. zoo example.
In the following x has  length 8 and y has length 6 and
they overlap for chron(5:8).  chron(1:4) only belongs
to x and chron(9:10) only belongs to y.

library(chron)
library(zoo)
x <- zoo(1:8, chron(1:8))
y <- zoo(5:10, chron(5:10))
merge(x,y) # union
merge(x,y,all=FALSE) # intersection
merge(x,y,all=c(FALSE, TRUE)) # right join
merge(x,y,all=c(TRUE, FALSE)) # left join

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