[R] Precision error in time index of ts objects

[Achim Zeileis]

On Fri, 1 Sep 2017, Andrea Altomani wrote:

> I should have formulated my question in a more specific way.
>
> 1. I suspect this is a floating point precision issue. I am not very 
> knowledgeable about R internals, can someone else confirm it?

Yes. If you represent a series with increment 1/12 it depends on how you 
do it. As a simple example consider the following two descriptions of the 
same time point:

2 - 1/12
## [1] 1.916667

1 + 11/12
## [1] 1.916667

However, both are not identical:

(2 - 1/12) == (1 + 11/12)
## [1] FALSE

The difference is just the .Machine$double.eps:

(2 - 1/12) - (1 + 11/12)
## [1] 2.220446e-16

> 2. Should this be considered a bug or not, because it is "just a 
> precision issue"? Should I report it?

I don't think it is a bug because of the (non-standard) way how you 
created the time series.

> 3. How can it happen? From a quick review of ts.R, it looks like the values
> of the time index are never modified, but only possibly removed. In my case:
>   - x and y have the same index.
>   - the subtraction operator recognizes this, and create a new ts with one
> entry
>   - the result of the subtraction has an index which is different from the
> input.
>  This is very surprising to me, and I am curious to understand the problem.

The object 'x' and hence the object 'y' have the same time index. But in 
'z' a new time index is created which is subtly different from that of 
'x'. The reason for this is that R doesn't expect an object like 'x' to 
exist.

You should create a "ts" object with ts(), e.g.,

x <- ts(2017, start = c(2017, 6), freqency = 12)

But you created something close to the internal representation...but not 
close enough:

y <- structure(2017, .Tsp = c(2017.416667, 2017.416667, 12), class = "ts")

The print functions prints both print(x) and print(y) as

       Jun
2017 2017

However, aligning the two time indexes in x - y or ts.intersect(x, y) does 
not work...because they are not the same

as.numeric(time(x)) - as.numeric(time(y))
## [1] -3.333332e-07

The "ts" code tries to avoid these situations by making many time index 
comparisons only up to a precision of getOption("ts.eps") (1e-5 by 
default) but this is not used everywhere. See ?options:

     'ts.eps': the relative tolerance for certain time series ('ts')
           computations.  Default '1e-05'.

Of course, you could ask for this being used in more places, e.g., in 
stats:::.cbind.ts() where (st > en) is used rather than ((st - en) > 
getOption("ts.eps")). But it's probably safer to just use ts() rather than 
structure(). Or if you use the latter make sure that you do at a high 
enough precision.

hth,
Z


> On Fri, Sep 1, 2017 at 5:53 PM Jeff Newmiller <jdnewmil at dcn.davis.ca.us>
> wrote:
>
>> You already know the answer. Why ask?
>> --
>> Sent from my phone. Please excuse my brevity.
>>
>> On September 1, 2017 7:23:24 AM PDT, Andrea Altomani <
>> altomani.andrea at gmail.com> wrote:
>>> I have a time series x, and two other series obtained from it:
>>>
>>> x <- structure(2017, .Tsp = c(2017.41666666667, 2017.41666666667, 12),
>>> class = "ts")
>>> y <- floor(x)
>>> z <- x-y
>>>
>>> I would expect the three series to have exactly the same index.
>>> However I get the following
>>>
>>>> time(x)-time(y)
>>>     Jun
>>> 2017   0
>>>
>>> as expected, but
>>>
>>>> time(x)-time(z)
>>> integer(0)
>>> Warning message:
>>> In .cbind.ts(list(e1, e2), c(deparse(substitute(e1))[1L],
>>> deparse(substitute(e2))[1L]),  :
>>>  non-intersecting series
>>>
>>> and indeed, comparing the indices gives:
>>>
>>>> time(x)[1]-time(z)[1]
>>> [1] 3.183231e-12
>>>
>>> Is this a bug in R, or is it one of the expected precision errors due
>>> to the use of limited precision floats?
>>>
>>> I am using R 3.4.0 (2017-04-21) on Windows (64-bit).
>>>
>>> Thaks!
>>>
>>> Andrea Altomani
>>>
>>> ______________________________________________
>>> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
>>> 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.
>>
>
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>
> ______________________________________________
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>