Could someone recommend a package for time series?

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Could someone recommend a package for time series?

miao
Hi,

   I've not used R for about one year and don't know well about the updates
on the time series-related package.

  My primary job is to do economic/financial time series data analysis -
annual, monthly, daily, etc. I usually read data by the package
"XLConnect", which can read xls or xlsx files directly. It's excellent.
However I can't find a package to manipulate time series data. For example,
I just want to do an easy manipulation , e.g, to label the dates of the
data from , say, 1991M10 to 2014M07, and then extract part of the data,
say, 2005M01 to 2010M12 and do analysis. Is there any package work well for
my purpose?

  I sometimes need to aggregate monthly data to quarterly data and I find
"aggregate" function helpful.

  In the past I used packages xts, zoo and don't find it really user
friendly. Maybe I haven't mastered it; maybe there're some updates (which I
don't know) now. Could someone recommend a package or provide an example
(or just the document, I can read it) for my purpose?

   Attached is an exemplary data set I talked about.

   Thanks,

Miao

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Re: Could someone recommend a package for time series?

Pascal Oettli-2
Hi Miao,

You certainly will find useful answers here :
http://cran.r-project.org/web/views/TimeSeries.html

Regards,
Pascal Oettli

On Mon, Sep 29, 2014 at 6:05 PM, jpm miao <[hidden email]> wrote:

> Hi,
>
>    I've not used R for about one year and don't know well about the updates
> on the time series-related package.
>
>   My primary job is to do economic/financial time series data analysis -
> annual, monthly, daily, etc. I usually read data by the package
> "XLConnect", which can read xls or xlsx files directly. It's excellent.
> However I can't find a package to manipulate time series data. For example,
> I just want to do an easy manipulation , e.g, to label the dates of the
> data from , say, 1991M10 to 2014M07, and then extract part of the data,
> say, 2005M01 to 2010M12 and do analysis. Is there any package work well for
> my purpose?
>
>   I sometimes need to aggregate monthly data to quarterly data and I find
> "aggregate" function helpful.
>
>   In the past I used packages xts, zoo and don't find it really user
> friendly. Maybe I haven't mastered it; maybe there're some updates (which I
> don't know) now. Could someone recommend a package or provide an example
> (or just the document, I can read it) for my purpose?
>
>    Attached is an exemplary data set I talked about.
>
>    Thanks,
>
> Miao
>
> ______________________________________________
> [hidden email] 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.
>



--
Pascal Oettli
Project Scientist
JAMSTEC
Yokohama, Japan

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Re: Could someone recommend a package for time series?

miao
Thanks Pascal! It certainly helps!

2014-09-29 17:10 GMT+08:00 Pascal Oettli <[hidden email]>:

> Hi Miao,
>
> You certainly will find useful answers here :
> http://cran.r-project.org/web/views/TimeSeries.html
>
> Regards,
> Pascal Oettli
>
> On Mon, Sep 29, 2014 at 6:05 PM, jpm miao <[hidden email]> wrote:
> > Hi,
> >
> >    I've not used R for about one year and don't know well about the
> updates
> > on the time series-related package.
> >
> >   My primary job is to do economic/financial time series data analysis -
> > annual, monthly, daily, etc. I usually read data by the package
> > "XLConnect", which can read xls or xlsx files directly. It's excellent.
> > However I can't find a package to manipulate time series data. For
> example,
> > I just want to do an easy manipulation , e.g, to label the dates of the
> > data from , say, 1991M10 to 2014M07, and then extract part of the data,
> > say, 2005M01 to 2010M12 and do analysis. Is there any package work well
> for
> > my purpose?
> >
> >   I sometimes need to aggregate monthly data to quarterly data and I find
> > "aggregate" function helpful.
> >
> >   In the past I used packages xts, zoo and don't find it really user
> > friendly. Maybe I haven't mastered it; maybe there're some updates
> (which I
> > don't know) now. Could someone recommend a package or provide an example
> > (or just the document, I can read it) for my purpose?
> >
> >    Attached is an exemplary data set I talked about.
> >
> >    Thanks,
> >
> > Miao
> >
> > ______________________________________________
> > [hidden email] 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.
> >
>
>
>
> --
> Pascal Oettli
> Project Scientist
> JAMSTEC
> Yokohama, Japan
>

        [[alternative HTML version deleted]]

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Re: Could someone recommend a package for time series?

Bannert  Matthias
Hi,

the Cran Task View about time series that pascal just send is certainly helpful.
Personally I think the standard ts() already can do a lot for you. Apart from that I like zoo particularly if you have other than yearly frequencies like quarterly or even irregular frequencies to handle.

This is a pretty nice applied course that uses R for illustration: https://stat.ethz.ch/education/semesters/ss2012/atsa

apart from this course, I think Prof. Rob Hyndman (who also has a blog) has a lot of useful stuff to say when it comes time series analysis with R

best

Matthias Bannert

KOF Swiss Economic Institute, Switzerland

________________________________________
From: [hidden email] [[hidden email]] on behalf of jpm miao [[hidden email]]
Sent: Monday, September 29, 2014 11:47 AM
To: Pascal Oettli
Cc: mailman, r-help
Subject: Re: [R] Could someone recommend a package for time series?

Thanks Pascal! It certainly helps!

2014-09-29 17:10 GMT+08:00 Pascal Oettli <[hidden email]>:

> Hi Miao,
>
> You certainly will find useful answers here :
> http://cran.r-project.org/web/views/TimeSeries.html
>
> Regards,
> Pascal Oettli
>
> On Mon, Sep 29, 2014 at 6:05 PM, jpm miao <[hidden email]> wrote:
> > Hi,
> >
> >    I've not used R for about one year and don't know well about the
> updates
> > on the time series-related package.
> >
> >   My primary job is to do economic/financial time series data analysis -
> > annual, monthly, daily, etc. I usually read data by the package
> > "XLConnect", which can read xls or xlsx files directly. It's excellent.
> > However I can't find a package to manipulate time series data. For
> example,
> > I just want to do an easy manipulation , e.g, to label the dates of the
> > data from , say, 1991M10 to 2014M07, and then extract part of the data,
> > say, 2005M01 to 2010M12 and do analysis. Is there any package work well
> for
> > my purpose?
> >
> >   I sometimes need to aggregate monthly data to quarterly data and I find
> > "aggregate" function helpful.
> >
> >   In the past I used packages xts, zoo and don't find it really user
> > friendly. Maybe I haven't mastered it; maybe there're some updates
> (which I
> > don't know) now. Could someone recommend a package or provide an example
> > (or just the document, I can read it) for my purpose?
> >
> >    Attached is an exemplary data set I talked about.
> >
> >    Thanks,
> >
> > Miao
> >
> > ______________________________________________
> > [hidden email] 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.
> >
>
>
>
> --
> Pascal Oettli
> Project Scientist
> JAMSTEC
> Yokohama, Japan
>

        [[alternative HTML version deleted]]

______________________________________________
[hidden email] 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.

______________________________________________
[hidden email] 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.
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Re: Could someone recommend a package for time series?

Gabor Grothendieck
In reply to this post by miao
On Mon, Sep 29, 2014 at 5:05 AM, jpm miao <[hidden email]> wrote:

> Hi,
>
>    I've not used R for about one year and don't know well about the updates
> on the time series-related package.
>
>   My primary job is to do economic/financial time series data analysis -
> annual, monthly, daily, etc. I usually read data by the package
> "XLConnect", which can read xls or xlsx files directly. It's excellent.
> However I can't find a package to manipulate time series data. For example,
> I just want to do an easy manipulation , e.g, to label the dates of the
> data from , say, 1991M10 to 2014M07, and then extract part of the data,
> say, 2005M01 to 2010M12 and do analysis. Is there any package work well for
> my purpose?
>
>   I sometimes need to aggregate monthly data to quarterly data and I find
> "aggregate" function helpful.
>
>   In the past I used packages xts, zoo and don't find it really user
> friendly. Maybe I haven't mastered it; maybe there're some updates (which I
> don't know) now. Could someone recommend a package or provide an example
> (or just the document, I can read it) for my purpose?
>

The built in "ts" class works well with regularly spaced monthly and
quarterly data but is less suitable for daily data since it cannot
represent exact dates.

What you have described is very easy to do with zoo and/or xts.

If you are familiar with the core functions of R then zoo is pretty
easy to use since nearly all its functions are methods of core
generics allowing you to leverage your knowledge of R.   See:
  vignette("zoo-design")
for the design principles used and all 5 vignettes:
  vignette(package = "zoo")..

xts (which works with zoo) could also be of interest as well as 139
other packages that work with zoo and/or xts which means that in many
cases whatever functionality you need already exists.  See the bottom
of each of these pages for links to the other packages:
http://cran.r-project.org/package=zoo
http://cran.r-project.org/package=xts

Regarding your problem, zoo does have built in yearmon and yearqtr
classes for monthly and quarterly data.  Here is an example which
creates some daily test data, aggregates to monthly, extracts a subset
and displays the first few data points.  Then it aggregates to
quarterly and displays the first few data points   At the end it plots
the data using zoo's classic graphics plot.zoo method. ( zoo also has
direct support for ggplot2 (autoplot.zoo) and lattice graphics
(xyplot.zoo).)

library(zoo)

# create test data, z
tt <- seq(as.Date("2000-10-01"), as.Date("2013-12-31"), by = "day")
z <- zoo(seq_along(tt), tt)

# aggregate to monthly series and change time scale to year/month
zm <- aggregate(z, as.yearmon, mean)

# extract part of it
zm0 <- window(zm, start = "2005-01", end = "2010-12")

head(zm0)
## Jan 2005 Feb 2005 Mar 2005 Apr 2005 May 2005 Jun 2005
##  1569.0   1598.5   1628.0   1658.5   1689.0   1719.5

# aggregate to quarterly
zq <- aggregate(zm0, as.yearqtr, mean)

head(zq)
## 2005 Q1  2005 Q2  2005 Q3  2005 Q4  2006 Q1  2006 Q2
## 1598.500 1689.000 1780.833 1872.500 1963.500 2054.000

plot(zq)

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[hidden email] 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.