[R] block statistics with POSIX classes
Petr Pikal
petr.pikal at precheza.cz
Fri Sep 24 12:19:20 CEST 2004
Hi
You are probably mixing several things together.
Are your data time series?
What does is.ts(y) tell you?
Is the result TRUE?
In thet cas your construction aggregate(y, 1, mean) can work.
A by argument has to be list in case of aggregate. Is it?
So please try to read help pages to any function you use and
especially the examples, they can help a lot.
Cheers
Petr
On 23 Sep 2004 at 15:04, Kahra Hannu wrote:
> Thank you Petr and Gabor for the answers.
>
> They did not, however, solve my original problem. When I have a
> monthly time series y with a POSIX date variable dp, the most obvious
> way to compute e.g. the annual means is to use aggregate(y, 1, mean)
> that works with time series. However, I got stuck with the idea of
> using the 'by' argument as by = dp$year. But in that case y has to be
> a data.frame. The easiest way must be the best way.
>
> Regards,
> Hannu
>
> -----Original Message-----
> From: r-help-bounces at stat.math.ethz.ch
> [mailto:r-help-bounces at stat.math.ethz.ch]On Behalf Of Gabor
> Grothendieck Sent: Thursday, September 23, 2004 12:56 PM To:
> r-help at stat.math.ethz.ch Subject: Re: [R] block statistics with POSIX
> classes
>
>
> Kahra Hannu <kahra <at> mpsgr.it> writes:
>
> :
> : I have a monthly price index series x, the related return series y =
> diff(log (x)) and a POSIXlt date-time : variable dp. I would like to
> apply annual blocks to compute for example annual block maxima and
> mean of y. : : When studying the POSIX classes, in the first stage of
> the learning curve, I computed the maximum drawdown : of x: : > mdd <-
> maxdrawdown(x) : > max.dd <- mdd$maxdrawdown : > from <-
> as.character(dp[mdd$from]) : > to <- as.character(dp[mdd$to])
> : > from; to : [1] "2000-08-31" : [1] "2003-03-31" : that
> gives me the POSIX dates of the start and end of the period and
> suggests that I have done something correctly. : : Two questions: :
> (1) how to implement annual blocks and compute e.g. annual max, min
> and mean of y (each year's max, min, mean)? : (2) how to apply POSIX
> variables with the 'block' argument in gev in the evir package? : :
> The S+FinMetrics function aggregateSeries does the job in that module;
> but I do not know, how handle it in R. : My guess is that (1) is done
> by using the function aggregate, but how to define the 'by' argument
> with POSIX variables?
>
>
> 1. To create a ts monthly time series you specify the first month and
> a frequency of 12 like this.
>
> z.m <- ts(rep(1:6,4), start = c(2000,1), freq = 12)
> z.m
>
> # Annual aggregate is done using aggregate.ts with nfreq = 1
> z.y <- aggregate(z.m, nfreq = 1, max)
> z.y
>
> # To create a POSIXct series of times using seq
> # (This will use GMT. Use tz="" arg to ISOdate if you want current
> # tz.)
> z.y.times <- seq(ISOdate(2000,1,1), length = length(z.y), by = "year")
> z.y.times
>
> 2. Have not used evir but looking at ?gev it seems you can
> use block = 12 if you have monthly data and want the blocks to be
> successive 12 month periods or you can add a POSIXct times attribute
> to your data as below (also see comment re tz above) and then use
> block = "year" in your gev call.
>
> attr(z.m, "times") <- seq(ISOdate(2000,1,1), length=length(z.m),
> by="month") str(z.m) # display z.m along with attribute info
>
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Petr Pikal
petr.pikal at precheza.cz
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