aggregate-methods {timeSeries}R Documentation

Aggregate time series

Description

Aggregate a "timeSeries" object over general periods. There also functions for the common cases of changing daily to weekly and daily to monthly.

Usage

## S4 method for signature 'timeSeries'
aggregate(x, by, FUN, ...)

daily2monthly(x, init=FALSE) 
daily2weekly(x, startOn="Tue", init=FALSE)

Arguments

x

an object of class "timeSeries".

by

a sequence of timeDate objects denoting the aggregation period.

FUN

the function to be applied.

startOn

a character string, specifying the day of week as a three letter abbreviation. Weekly aggregated data records are then fixed to the weekdays given by the argument startOn.

init

a logical value, if set to TRUE then the time series will be indexed to 1 for its first value. By default init is set to FALSE.

...

arguments passed to other methods.

Details

The function aggregate is a function which can aggregate time series on general aggregation periods.

In addition there are two tailored function for simple usage: Function daily2monthly and daily2weekly which allow to aggregate "timeSeries" objects from daily to monthly or weekly levels, respectively.

In the case of the function daily2weekly one can explicitly set the starting day of the week, the default value is Tuesday, startOn="Tue".

Value

aggregate returns an aggregated S4 object of class timeSeries.

daily2monthly returns an aggregated monthly object of class timeSeries.

daily2weekly returns an aggregated weekly object of class timeSeries starting on the specified day of week.

Examples

## Load Microsoft Data Set -
   x <- MSFT

## Aggregate by Weeks - 
   by <- timeSequence(from = start(x),  to = end(x), by = "week")
   aggregate(x, by, mean)

## Aggregate to Last Friday of Month -
   by <- unique(timeLastNdayInMonth(time(x), 5))
   X <- aggregate(x, by, mean)
   X
   dayOfWeek(time(X))
   isMonthly(X)

## Aggregate to Last Day of Quarter -
   by <- unique(timeLastDayInQuarter(time(x)))
   X <-  aggregate(x, by, mean)
   X
   isQuarterly(X)
   
## Aggregate daily records to end of month records -
   X <- daily2monthly(x)
   X
   isMonthly(X)
   
## Aggregate da, ily records to end of week records -
   X <- daily2weekly(x, startOn="Fri")
   X
   dayOfWeek(time(X))
[Package timeSeries version 4030.106 Index]