subset.xts: Extract Subsets of xts Objects
In xts: eXtensible Time Series
Description
Usage
Arguments
Details
Value
Note
Author(s)
References
See Also
Examples
Description
Details on efficient subsetting of xts objects
for maximum performance and compatibility.
Usage
1
2
Arguments
x
xts object
i
the rows to extract. Numeric, timeBased or ISO-8601 style (see details)
j
the columns to extract, numeric or by name
drop
should dimension be dropped, if possible. See NOTE.
which.i
return the ‘i’ values used for subsetting. No
subset will be performed.
...
additional arguments (unused)
Details
One of the primary motivations, and key points of differentiation
of the time series class xts, is the ability to subset rows
by specifying ISO-8601 compatible range strings. This allows
for natural range-based time queries without requiring prior
knowledge of the underlying time object used in construction.
When a raw character vector is used for the i
subset argument, it is processed as if it was ISO-8601
compliant. This means that it is parsed from left to
right, according to the following specification:
CCYYMMDD HH:MM:SS.ss+
A full description will be expanded from a left-specified
truncated one.
Additionally, one may specify range-based queries
by simply supplying two time descriptions seperated
by a forward slash:
CCYYMMDD HH:MM:SS.ss+/CCYYMMDD HH:MM:SS.ss
The algorithm to parse the above is .parseISO8601 from
the xts package.
ISO-style subsetting, given a range type query, makes use
of a custom binary search mechanism that allows for
very fast subsetting as no linear search though the index
is required. ISO-style character vectors may be longer than
length one, allowing for multiple non-contiguous ranges
to be selected in one subsetting call.
If a character vector representing time is used in place of
numeric values, ISO-style queries, or timeBased
objects, the above parsing will be carried out on
each element of the i-vector. This overhead can
be very costly. If the character approach is used when
no ISO range querying is needed, it is
recommended to wrap the ‘i’ character vector with the I()
function call, to allow for more efficient internal processing.
Alternately converting character vectors to POSIXct objects will
provide the most performance efficiency.
As xts uses POSIXct time representations
of all user-level index classes internally, the fastest
timeBased subsetting will always be from POSIXct objects,
regardless of the indexClass of the original
object. All non-POSIXct time classes
are converted to character first to preserve
consistent TZ behavior.
Value
An extraction of the original xts object. If which.i
is TRUE, the corresponding integer ‘i’ values used to
subset will be returned.
Note
By design, drop=FALSE in the default case. This preserves the basic
underlying type of matrix and the dim() to be non-NULL.
This is different from both matrix and zoo behavior as R
uses drop=TRUE. Explicitly passing drop=TRUE may
be required when performing certain matrix operations.
Author(s)
Jeffrey A. Ryan
References
ISO 8601: Date elements and interchange formats -
Information interchange - Representation of dates and time
http://www.iso.org
See Also
Examples
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x <- xts(1:3, Sys.Date()+1:3)
xx <- cbind(x,x)
# drop=FALSE for xts, differs from zoo and matrix
z <- as.zoo(xx)
z/z[,1]
m <- as.matrix(xx)
m/m[,1]
# this will fail with non-conformable arrays (both retain dim)
tryCatch(
xx/x[,1],
error=function(e) print("need to set drop=TRUE")
)
# correct way
xx/xx[,1,drop=TRUE]
# or less efficiently
xx/drop(xx[,1])
# likewise
xx/coredata(xx)[,1]
x <- xts(1:1000, as.Date("2000-01-01")+1:1000)
y <- xts(1:1000, as.POSIXct(format(as.Date("2000-01-01")+1:1000)))
x.subset <- index(x)[1:20]
x[x.subset] # by original index type
system.time(x[x.subset])
x[as.character(x.subset)] # by character string. Beware!
system.time(x[as.character(x.subset)]) # slow!
system.time(x[I(as.character(x.subset))]) # wrapped with I(), faster!
x['200001'] # January 2000
x['1999/2000'] # All of 2000 (note there is no need to use the exact start)
x['1999/200001'] # January 2000
x['2000/200005'] # 2000-01 to 2000-05
x['2000/2000-04-01'] # through April 01, 2000
y['2000/2000-04-01'] # through April 01, 2000 (using POSIXct series)
Example output
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
..1 ..2
2017-10-01 1 1
2017-10-02 1 1
2017-10-03 1 1
..1 ..2
2017-10-01 1 1
2017-10-02 1 1
2017-10-03 1 1
[1] "need to set drop=TRUE"
..1 ..2
2017-10-01 1 1
2017-10-02 1 1
2017-10-03 1 1
..1 ..2
2017-10-01 1 1
2017-10-02 1 1
2017-10-03 1 1
..1 ..2
2017-10-01 1 1
2017-10-02 1 1
2017-10-03 1 1
[,1]
2000-01-02 1
2000-01-03 2
2000-01-04 3
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2000-01-20 19
2000-01-21 20
user system elapsed
0.001 0.000 0.001
[,1]
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2000-01-03 2
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2000-01-21 20
user system elapsed
0.016 0.000 0.016
user system elapsed
0.002 0.000 0.002
[,1]
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[,1]
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[,1]
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[,1]
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[,1]
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[,1]
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xts documentation built on May 2, 2019, 5:18 p.m.
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Description Usage Arguments Details Value Note Author(s) References See Also Examples
Description
Details on efficient subsetting of xts objects
for maximum performance and compatibility.
Usage
1 2 |
Arguments
x |
xts object |
i |
the rows to extract. Numeric, timeBased or ISO-8601 style (see details) |
j |
the columns to extract, numeric or by name |
drop |
should dimension be dropped, if possible. See NOTE. |
which.i |
return the ‘i’ values used for subsetting. No subset will be performed. |
... |
additional arguments (unused) |
Details
One of the primary motivations, and key points of differentiation of the time series class xts, is the ability to subset rows by specifying ISO-8601 compatible range strings. This allows for natural range-based time queries without requiring prior knowledge of the underlying time object used in construction.
When a raw character vector is used for the i
subset argument, it is processed as if it was ISO-8601
compliant. This means that it is parsed from left to
right, according to the following specification:
CCYYMMDD HH:MM:SS.ss+
A full description will be expanded from a left-specified truncated one.
Additionally, one may specify range-based queries by simply supplying two time descriptions seperated by a forward slash:
CCYYMMDD HH:MM:SS.ss+/CCYYMMDD HH:MM:SS.ss
The algorithm to parse the above is .parseISO8601 from
the xts package.
ISO-style subsetting, given a range type query, makes use of a custom binary search mechanism that allows for very fast subsetting as no linear search though the index is required. ISO-style character vectors may be longer than length one, allowing for multiple non-contiguous ranges to be selected in one subsetting call.
If a character vector representing time is used in place of
numeric values, ISO-style queries, or timeBased
objects, the above parsing will be carried out on
each element of the i-vector. This overhead can
be very costly. If the character approach is used when
no ISO range querying is needed, it is
recommended to wrap the ‘i’ character vector with the I()
function call, to allow for more efficient internal processing.
Alternately converting character vectors to POSIXct objects will
provide the most performance efficiency.
As xts uses POSIXct time representations
of all user-level index classes internally, the fastest
timeBased subsetting will always be from POSIXct objects,
regardless of the indexClass of the original
object. All non-POSIXct time classes
are converted to character first to preserve
consistent TZ behavior.
Value
An extraction of the original xts object. If which.i
is TRUE, the corresponding integer ‘i’ values used to
subset will be returned.
Note
By design, drop=FALSE in the default case. This preserves the basic
underlying type of matrix and the dim() to be non-NULL.
This is different from both matrix and zoo behavior as R
uses drop=TRUE. Explicitly passing drop=TRUE may
be required when performing certain matrix operations.
Author(s)
Jeffrey A. Ryan
References
ISO 8601: Date elements and interchange formats - Information interchange - Representation of dates and time http://www.iso.org
See Also
Examples
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 | x <- xts(1:3, Sys.Date()+1:3)
xx <- cbind(x,x)
# drop=FALSE for xts, differs from zoo and matrix
z <- as.zoo(xx)
z/z[,1]
m <- as.matrix(xx)
m/m[,1]
# this will fail with non-conformable arrays (both retain dim)
tryCatch(
xx/x[,1],
error=function(e) print("need to set drop=TRUE")
)
# correct way
xx/xx[,1,drop=TRUE]
# or less efficiently
xx/drop(xx[,1])
# likewise
xx/coredata(xx)[,1]
x <- xts(1:1000, as.Date("2000-01-01")+1:1000)
y <- xts(1:1000, as.POSIXct(format(as.Date("2000-01-01")+1:1000)))
x.subset <- index(x)[1:20]
x[x.subset] # by original index type
system.time(x[x.subset])
x[as.character(x.subset)] # by character string. Beware!
system.time(x[as.character(x.subset)]) # slow!
system.time(x[I(as.character(x.subset))]) # wrapped with I(), faster!
x['200001'] # January 2000
x['1999/2000'] # All of 2000 (note there is no need to use the exact start)
x['1999/200001'] # January 2000
x['2000/200005'] # 2000-01 to 2000-05
x['2000/2000-04-01'] # through April 01, 2000
y['2000/2000-04-01'] # through April 01, 2000 (using POSIXct series)
|
Example output
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
..1 ..2
2017-10-01 1 1
2017-10-02 1 1
2017-10-03 1 1
..1 ..2
2017-10-01 1 1
2017-10-02 1 1
2017-10-03 1 1
[1] "need to set drop=TRUE"
..1 ..2
2017-10-01 1 1
2017-10-02 1 1
2017-10-03 1 1
..1 ..2
2017-10-01 1 1
2017-10-02 1 1
2017-10-03 1 1
..1 ..2
2017-10-01 1 1
2017-10-02 1 1
2017-10-03 1 1
[,1]
2000-01-02 1
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2000-01-21 20
user system elapsed
0.001 0.000 0.001
[,1]
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2000-01-21 20
user system elapsed
0.016 0.000 0.016
user system elapsed
0.002 0.000 0.002
[,1]
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[,1]
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