[R] ts.intersect() not working

[Giorgio Garziano]

It appears to be a numerical precision issue introduced while computing the "end" value of a time series,
if not already specified at ts() input parameter level.

You may want to download the R source code:

  https://cran.r-project.org/src/base/R-3/R-3.2.2.tar.gz

and look into R-3.2.2\src\library\stats\R\ts.R, specifically at code block lines 52..64,
where "end" is handled.

Then look at block code 140-142 ts.R, where a comparison is performed in order to determine if
the time series are overlapping.

In your second scenario (b2, b3) it happens that:

> tsps
                   [,1]               [,2]
[1,] 2009.5833333333333 2009.6666666666667
[2,] 2009.6666666666665 2009.6666666666667
[3,]   12.0000000000000   12.0000000000000
> st <- max(tsps[1,])
> en <- min(tsps[2,])
> st
[1] 2009.6666666666667
> en
[1] 2009.6666666666665

And (st > en) triggers the "non-intersecting series" warning.

That issue has origin inside the ts() function in the "end" computation based on start, ndata and frequency.

What basically happens can be so replicated:

start = c(2009, 8)
end = c(2009,9)
frequency=12
ndata=2

start <- start[1L] + (start[2L] - 1)/frequency
start
[1] 2009.5833333333333

end <- end[1L] + (end[2L] - 1)/frequency
end
[1] 2009.6666666666667

end <- start + (ndata - 1)/frequency
end
[1] 2009.6666666666665

Note the difference between the two "end" values above.

As workaround, you can specify the "end" parameter in the ts() call.


> b2 <- ts(data = c(10, 20), start = c(2009, 8), end = c(2009,9), frequency = 12);
> b2
     Aug Sep
2009  10  20
>
> b3 <- ts(data = matrix(data = 4:6, nrow = 1), start = c(2009, 9), end = c(2009,9), frequency = 12);
> b3
         Series 1 Series 2 Series 3
Sep 2009        4        5        6
>
> bb <- ts.intersect(b2, b3);
> bb
         b2 b3.Series 1 b3.Series 2 b3.Series 3
Sep 2009 20           4           5           6


Hope this helps

--
GG

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