How to compare two asynchroneous xts time series?

Lines1 <- "2008-06-02 09:00:00,5007.0

Lines2 <- "2008-06-02 09:01:00,7115.0

library(xts)
z1 <- read.zoo(textConnection(Lines1), sep = ",", tz = "")
x1 <- as.xts(z1)
z2 <- read.zoo(textConnection(Lines2), sep = ",", tz = "")
x2 <- as.xts(z2)

# convert xts to zoo
Z1 <- zoo(coredata(x1), time(x1))
Z2 <- zoo(coredata(x2), time(x2))
library(dyn)
dyn$lm(Z2 ~ Z1)

Hi again,

Suppose the problem evolves a little.
I would like to know how to perform a regression on two xts objects with
different lengths.
Let's take the same example:
series1

2008-06-02 09:00:00 5007.0
2008-06-02 09:01:00 5010.0
2008-06-02 09:02:00 5014.0
2008-06-02 09:03:00 5012.5
2008-06-02 09:04:00 5013.5
2008-06-02 09:05:00 5009.5
2008-06-02 09:06:00 5007.0
2008-06-02 09:07:00 5006.5
2008-06-02 09:08:00 5008.5
2008-06-02 09:09:00 5004.5

Series2

2008-06-02 09:01:00 7115.0
2008-06-02 09:03:00 7117.0
2008-06-02 09:05:00 7111.0
2008-06-02 09:07:00 7107.0
2008-06-02 09:09:00 7102.5

lm(Series2~Series1)

Error in model.frame.default(formula = Series2 ~ Series1, drop.unused.levels
= TRUE) :
?variable lengths differ (found for 'Series1')

While performing the regression the usual way, I've got the error described
before.

Any thoughts?

Anass



On Thu, Jun 11, 2009 at 5:57 PM, spencerg <spencer.graves at prodsyse.com>wrote:

? ? One could also smooth the two series first, then compare the smooths.
?This could be used to interpolate missing values to provide a larger sample
size for tradition tools.

? ? The "fda" package has a number of tools for doing this kind of thing.
?Learning about this package will soon get easier with the scheduled
appearance in July of Ramsay, Hooker and Graves (2009) Functional Data
Analysis with R and Matlab (Springer). ?The "fda" package contains script
files to reproduce all but one of the 78 figures in the book. ?The script
files are available now, and can be found as follows:

system.file('scripts', package='fda')

[1] "C:/Users/sgraves/R/R-2.9.0/library/fda/scripts"

dir(system.file('scripts', package='fda'))

<snip> [17] "fdarm-ch01.R" ? ? ? ? ? ?"fdarm-ch02.R" ? ? ? ? ?[19]
"fdarm-ch03.R" ? ? ? ? ? ?"fdarm-ch04.R" ? ? ? ? ?[21] "fdarm-ch05.R"
? ? ?"fdarm-ch06.R" ? ? ? ? ?[23] "fdarm-ch07.R" ? ? ? ? ? ?"fdarm-ch08.R"
? ? ? ?[25] "fdarm-ch09.R" ? ? ? ? ? ?"fdarm-ch10.R" ? ? ? ? ?[27]
"fdarm-ch11.R" ? ? ? ? ? ?"pda.fd.test.R"

? ? Hope this helps. ? ? Spencer


Anass Mouhsine wrote:

Thanks Joshua

A

Joshua Ulrich wrote:

On Thu, Jun 11, 2009 at 9:16 AM, anass<anass.mouhsine at gmail.com> wrote:

Thx guys,

well the error I got is elswhere and I thought it was due to the
asynchrone
timeseries.

let's assume that I got the intraday ratio, what I do is the following

d<-index(to.daily(ratio))
for (i in 1:length(d)){
?tstart<-paste(d[i], "09:00:00")
?tend<-paste(d[i],"17:00:00")
ts_ratio<-ratio[tstart:tend]

This line is incorrect. ?I don't believe the ":" sequence operator in
package:base is defined for character strings (see ?":"). ?This is
what is causing an error. ?What you probably intended is this:
ts_ratio <- ratio[paste(tstart,tend,sep="::")]

#
# other operations
#
}

and I have this error
Error in tstart:tend : argument NA / NaN

So I assume if it is not due to asynchrone series, it is due to the
subsetting.
Does xts objects accept this kind of subset?


On Thu, Jun 11, 2009 at 4:05 PM, Jeff Ryan <jeff.a.ryan at gmail.com>
wrote:

Anass,

xts and zoo automatically align series via "merge" when performing Ops
methods (+/-*...etc)

This is what you want in most cases.

See ?merge.xts, ?xts, ?merge.zoo and ?Ops.zoo

HTH
Jeff

On Thu, Jun 11, 2009 at 9:00 AM, Joshua Ulrich<josh.m.ulrich at gmail.com

wrote:

Hi Anass,

Can you provide an example of what you're trying to do and what error
you are receiving? ?I'm able to run the code below without error.

require(xts)

Lines <-

+ "2008-06-02 09:00:00,5007.0
+ 2008-06-02 09:01:00,5010.0
+ 2008-06-02 09:02:00,5014.0
+ 2008-06-02 09:03:00,5012.5
+ 2008-06-02 09:04:00,5013.5
+ 2008-06-02 09:05:00,5009.5
+ 2008-06-02 09:06:00,5007.0
+ 2008-06-02 09:07:00,5006.5
+ 2008-06-02 09:08:00,5008.5
+ 2008-06-02 09:09:00,5004.5"

one <- read.zoo(textConnection(Lines),sep=',',FUN=as.POSIXct)
one <- as.xts(one)

Lines <-

+ "2008-06-02 09:01:00,7115.0
+ 2008-06-02 09:03:00,7117.0
+ 2008-06-02 09:05:00,7111.0
+ 2008-06-02 09:07:00,7107.0
+ 2008-06-02 09:09:00,7102.5"

two <- read.zoo(textConnection(Lines),sep=',',FUN=as.POSIXct)
two <- as.xts(two)

one/two

? ? ? ? ? ? ? ? ? ? ? ? ?e1
2008-06-02 09:01:00 0.7041462
2008-06-02 09:03:00 0.7042996
2008-06-02 09:05:00 0.7044719
2008-06-02 09:07:00 0.7044463
2008-06-02 09:09:00 0.7046111

two/one

? ? ? ? ? ? ? ? ? ? ? ? e1
2008-06-02 09:01:00 1.420160
2008-06-02 09:03:00 1.419850
2008-06-02 09:05:00 1.419503
2008-06-02 09:07:00 1.419555
2008-06-02 09:09:00 1.419223
? ? ? ?Best,
Joshua
--
http://www.fosstrading.com



On Thu, Jun 11, 2009 at 6:11 AM, Anass
Mouhsine<anass.mouhsine at gmail.com> wrote:

Hi all,

Suppose I have two xts time series with asynchroneous time index.
I would like for example to calculate a ratio of those two series,
but
I
don't know how to get an intersection of the two indices in order to
avoid
errors.

an example of the data is the following

series1

2008-06-02 09:00:00 5007.0
2008-06-02 09:01:00 5010.0
2008-06-02 09:02:00 5014.0
2008-06-02 09:03:00 5012.5
2008-06-02 09:04:00 5013.5
2008-06-02 09:05:00 5009.5
2008-06-02 09:06:00 5007.0
2008-06-02 09:07:00 5006.5
2008-06-02 09:08:00 5008.5
2008-06-02 09:09:00 5004.5

Series2

2008-06-02 09:01:00 7115.0
2008-06-02 09:03:00 7117.0
2008-06-02 09:05:00 7111.0
2008-06-02 09:07:00 7107.0
2008-06-02 09:09:00 7102.5

Any idea?

Thanks in advance

--
Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com

--

En toda ocasion, disfruta de la vida

Best,
Joshua
--
http://www.fosstrading.com

--

Every man has his own destiny: the only imperative is to follow it, to
accept it, no matter where it leads him.(H.Miller)

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