XTS to.weekly 返回不同的每周端点 [英] XTS to.weekly returns different weekly endpoints
问题描述
我有一个问题,其中 xts
中的 endpoints()
函数(以及使用端点的 to.weekly
函数)有时返回星期五作为周末,有时返回星期一.
I have a problem where the endpoints()
function in xts
(and also the to.weekly
function, which uses endpoints) sometimes returns Friday as the end of week, and sometimes returns Monday.
我的数据集名为 sp2
.
> head(sp2)
[,1]
2012-01-09 1.78
2012-01-10 1.78
2012-01-11 1.77
2012-01-12 1.80
2012-01-13 1.77
2012-01-16 1.77
> tail(sp2)
[,1]
2012-06-28 1.94
2012-06-29 1.92
2012-07-02 1.92
2012-07-03 1.90
2012-07-04 1.89
2012-07-05 1.89
> class(sp2)
[1] "xts" "zoo"
> weekdays(index(sp2))
[1] "Monday" "Tuesday" "Wednesday" "Thursday" "Friday" "Monday" "Tuesday" "Wednesday" "Thursday" "Friday"
[11] "Monday" "Tuesday" "Wednesday" "Thursday" "Friday" "Monday" "Tuesday" "Wednesday" "Thursday" "Friday"
[21] "Monday" "Tuesday" "Wednesday" "Thursday" "Friday" "Monday" "Tuesday" "Wednesday" "Thursday" "Friday"
[31] "Monday" "Tuesday" "Wednesday" "Thursday" "Friday" "Monday" "Tuesday" "Wednesday" "Thursday" "Friday"
[41] "Monday" "Tuesday" "Wednesday" "Thursday" "Friday" "Monday" "Tuesday" "Wednesday" "Thursday" "Friday"
[51] "Monday" "Tuesday" "Wednesday" "Thursday" "Friday" "Monday" "Tuesday" "Wednesday" "Thursday" "Friday"
[61] "Monday" "Tuesday" "Wednesday" "Thursday" "Friday" "Monday" "Tuesday" "Wednesday" "Thursday" "Friday"
[71] "Monday" "Tuesday" "Wednesday" "Thursday" "Friday" "Monday" "Tuesday" "Wednesday" "Thursday" "Friday"
[81] "Monday" "Tuesday" "Wednesday" "Thursday" "Friday" "Monday" "Tuesday" "Wednesday" "Thursday" "Friday"
[91] "Monday" "Tuesday" "Wednesday" "Thursday" "Friday" "Monday" "Tuesday" "Wednesday" "Thursday" "Friday"
[101] "Monday" "Tuesday" "Wednesday" "Thursday" "Friday" "Monday" "Tuesday" "Wednesday" "Thursday" "Friday"
[111] "Monday" "Tuesday" "Wednesday" "Thursday" "Friday" "Monday" "Tuesday" "Wednesday" "Thursday" "Friday"
[121] "Monday" "Tuesday" "Wednesday" "Thursday" "Friday" "Monday" "Tuesday" "Wednesday" "Thursday"
如您所见,数据系列中没有缺少工作日.
So as you can see there are no missing weekdays in the data series.
然而.....
> weekdays(index(to.weekly(sp2)))
[1] "Friday" "Friday" "Friday" "Friday" "Friday" "Friday" "Friday" "Friday" "Friday" "Friday" "Monday"
[12] "Monday" "Monday" "Monday" "Monday" "Monday" "Monday" "Monday" "Monday" "Monday" "Monday" "Monday"
[23] "Monday" "Monday" "Monday" "Thursday"
当然这应该总是星期五(除了最后一点是今天,星期四)?
Surely this should always be Friday (except for the last point which is today, Thursday)?
我在这里做错了什么,有解决方法吗?
What am I doing wrong here, and is there a workaround?
我希望计算这个数据系列从周五到周五的每周变化.
I wish to compute weekly changes on this data series from Friday to Friday.
......................................................可重现的例子...........................
..........................................REPRODUCIBLE EXAMPLE ........................
i <- as.Date((as.numeric(Sys.Date())-200):as.numeric(Sys.Date()))
x <- xts(rep(1, length(i)), order.by = i)
weekdays(index(to.weekly(x)))
# [1] "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday"
# [14] "Sunday" "Monday" "Monday" "Monday" "Monday" "Monday" "Monday" "Monday" "Monday" "Monday" "Monday" "Monday" "Monday"
# [27] "Monday" "Monday" "Monday" "Thursday"
y <- xts(rep(1, length(i)), order.by = as.POSIXct(i))
weekdays(index(to.weekly(y)))
# [1] "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday"
# [14] "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday" "Sunday"
# [27] "Sunday" "Sunday" "Sunday" "Thursday"
推荐答案
这是 R-Forge 上已修复的 CRAN 版本中的错误.基本上,索引的时间部分并没有被删除,而且您遇到了一些带有时区和夏令时的时髦业务.
This is a bug in the CRAN version that has been fixed on R-Forge. Basically, the time component of the index wasn't being dropped and you ran into some funky business with timezones and daylight saving time.
从 R-Forge 安装以使用更正后的功能.
require(xts)
i <- Sys.Date()+200:0
x <- xts(rep(1, length(i)), order.by = i)
y <- xts(rep(1, length(i)), order.by = as.POSIXct(i))
all.equal(weekdays(index(to.weekly(x))), weekdays(index(to.weekly(y))))
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