[R] window?

[R. Michael Weylandt]

Yes, that will definitely create a time series with the desired
frequency, though the actual time index won't correspond to the
original so you may need to exercise a little bit of caution in
interpreting the outputs of ets().

Glad this could help,
Michael

On Wed, Nov 9, 2011 at 9:15 AM,  <rkevinburton at charter.net> wrote:
> Thank you.
>
> I am glad I asked. It wasn't giving answers that I expected and now I know
> why.
>
> Rather than pull in another package just for this functionality, I will just
> reassign the frequency by generating a new time series like:
>
> dswin <- window(ds, start=..., end=...)
> dswin <- ts(dswin, frequency=1)
>
> That should work shouldn't it?
>
> Thanks again.
>
> Kevin
>
>
> On Tue, Nov 8, 2011 at 9:40 PM, R. Michael Weylandt wrote:
>
>> 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:
>>>
>>> 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:
>>>>
>>>> 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:
>>>>>
>>>>> This doesn't seem to work:
>>>>>
>>>>>
>>>>>
>>>>>> d <- rnorm(2*53)
>>>>>
>>>>>> ds <- ts(d, frequency=53, start=c(2000,10))
>>>>>
>>>>>> dswin <- window(ds, start=c(2001,1), end=c(2001,10), frequency=1)
>>>>>
>>>>>> dswin
>>>>>
>>>>> Time Series:
>>>>>
>>>>> Start = 2001
>>>>>
>>>>> End = 2001
>>>>>
>>>>> Frequency = 1
>>>>>
>>>>> [1] 1.779409
>>>>>
>>>>>
>>>>>
>>>>>> dswin <- window(ds, start=c(2001,1), end=c(2001,10))
>>>>>
>>>>>> dswin
>>>>>
>>>>> Time Series:
>>>>>
>>>>> Start = c(2001, 1)
>>>>>
>>>>> End = c(2001, 10)
>>>>>
>>>>> Frequency = 53
>>>>>
>>>>>  [1]  1.7794090  0.6916779 -0.6641813 -0.7426889 -0.5584049
>>>>> -0.2312959
>>>>>
>>>>> [7] -0.0183454 -1.0026301  0.4534920  0.6058198
>>>>>
>>>>>>
>>>>>
>>>>>
>>>>>
>>>>> The problem is that when the frequency is specified only one value
>>>>> shows up in the window. When no frequency is specified I get all 10
>>>>> values but now the time series has a frequency that I don't want.
>>>>>
>>>>>
>>>>>
>>>>> Comments?
>>>>>
>>>>>
>>>>>
>>>>> Kevin
>>>>>
>>>>>
>>>>>
>>>>>
>>>>>        [[alternative HTML version deleted]]
>>>>>
>>>>> ______________________________________________
>>>>> R-help at r-project.org mailing list
>>>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>>>> PLEASE do read the posting guide
>>>>> http://www.R-project.org/posting-guide.html
>>>>> and provide commented, minimal, self-contained, reproducible code.
>>>>>
>>>>
>>>> ______________________________________________
>>>> R-help at r-project.org mailing list
>>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>>> PLEASE do read the posting guide
>>>> http://www.R-project.org/posting-guide.html
>>>> and provide commented, minimal, self-contained, reproducible code.
>>>>
>>>
>>>
>