Re: [Rd] [R] aggregate.ts

From: Gabor Grothendieck <ggrothendieck_at_gmail.com>
Date: Wed, 25 Jul 2007 11:01:34 -0400

On 7/25/07, Paul Gilbert <pgilbert_at_bank-banque-canada.ca> wrote:
> (moved from r-help)
>
> Achim Zeileis wrote:
>
> >On Wed, 25 Jul 2007, laimonis wrote:
> >
> >
> >
> >>Consider the following scrap of code:
> >>
> >>
> >
> >...slightly modified to
> > x1 <- ts(1:24, start = c(2000, 10), freq = 12)
> > x2 <- ts(1:24, start = c(2000, 11), freq = 12)
> >
> >and then
> > y1 <- aggregate(x1, nfreq = 4)
> >gives the desired result while
> > y2 <- aggregate(x2, nfreq = 4)
> >probably does not what you would like it to do.
> >
>
> I've been caught by this before, and complained before. It does not do
> what most people that work with economic time series would expect. (One
> might argue that not all time series are economic, but other time series
> don't usually fit with ts very well.) At the very least aggregate
> should issue a warning. Quarterly observations are for quarters of the
> year, so just arbitrarily grouping in 3 beginning with the first
> observation is *extremely* misleading, even if it is documented.
>
> [ BTW, there is a bug in the print method here (R-2.5.1 on Linux) :
> > y2 <- aggregate(x2, nfreq = 4)
> >
> > y2
> Error in rep.int("", start.pad) : invalid number of copies in rep.int()
> > traceback()
> 5: rep.int("", start.pad)
> 4: as.vector(data)
> 3: matrix(c(rep.int("", start.pad), format(x, ...), rep.int("",
> end.pad)), nc = fr.x, byrow = TRUE, dimnames = list(dn1,
> dn2))
> 2: print.ts(c(6L, 15L, 24L, 33L, 42L, 51L, 60L, 69L))
> 1: print(c(6L, 15L, 24L, 33L, 42L, 51L, 60L, 69L))
> ]
>
> ....
>
> >Currently, the "zoo" implementation allows this: Coercing back and forth
> >gives:
> > library("zoo")
> > z1 <- as.ts(aggregate(as.zoo(x1), as.yearqtr, sum))
> > z2 <- as.ts(aggregate(as.zoo(x2), as.yearqtr, sum))
> >
> >
> This is better, but still potentially misleading. I would prefer a
> default NA when only some of the observations are available for a
> quarter (and the syntax is a bit cumbersome for something one needs to
> do fairly often).
>

That can be readily handled with a custom sum function:

sum.na <- function(x, width, ...) {

	if (!missing(width) && length(x) != width) x <- NA * x
	sum(x, ...)

}

> as.ts(aggregate(as.zoo(x2), as.yearqtr, sum.na, width = 3))

     Qtr1 Qtr2 Qtr3 Qtr4
2000                  NA

2001 12 21 30 39
2002 48 57 66 NA

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