R/ts_merge.R

In drdsdaniel/Dmisc: Daniel miscellaneous functions

# ts_merge: Merge Multiple Time Series
# `r lifecycle::badge("experimental")`
#
# Given a list of time series objects, this function merges them based on the "date" column
# and returns a new time series object with all the data. If the input time series objects are not of class
# "mts", then the column names will be used to label the respective series in the merged data.
#
# @param ... Time series objects.
# @param .by The column(s) to use for merging.
# @param .type The type of join to perform. Can be one of "full", "inner", "left", "right".
#  See \code{\link[dplyr]{full_join}} for more information.
#
# @return A merged time series object.
#
#
# @examples
# \dontrun{
# ts1 <- ts(rnorm(100), start = c(2010, 1), frequency = 12)
# ts2 <- ts(rnorm(50), start = c(2010, 1), frequency = 12)
# ts3 <- ts(rnorm(120), start = c(2010, 1), frequency = 12)
# ts_merge(list(ts1, ts2, ts3))
# }
ts_merge <- function(..., .by = 'date', .type = 'full'){
  data <- list(...)
  res <- list()
  if(is.null(names(data))){
    names(data) <- paste0("ts", seq_along(data))
  }
  for (.ts in names(data)) {
    .data <- data[[.ts]]
    .subres <- .data |>
      ts_to_df()
    if(!"mts" %in% class(.data)){
      names(.subres)[names(.subres) == 'ts'] <- .ts
    }
    if(length(res) == 0){
      res <- .subres
    } else {
      res <- utils::getFromNamespace(paste0(.type, '_join'), 'dplyr')(res, .subres, .by)
      #res <- dplyr::full_join(res, .subres, .by)
    }
  }
  res |>
    df_to_ts()
}