[R] Precision error in time index of ts objects

[Andrea Altomani]

Thanks for the very detailed explanation.

I did not create the series using structure(), that was the result of
dump() on an intermediate object created within tsdisagg::ta(), which is
where I found the error in the first place. ta() indeed manipulates .Tsp
directly, rather than using ts. I guess this is a bug in tsdisagg then.

Thanks!


-- 
Andrea Altomani


On Sat, Sep 2, 2017 at 12:31 AM Achim Zeileis <Achim.Zeileis at uibk.ac.at>
wrote:

> 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.
> >>
> >
> >       [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > 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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