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Chapter 1

This document introduces xts and zoo objects for manipulating time series data in R. It discusses that xts objects combine a matrix containing the observations with an index containing the timestamps. It provides an example of creating an xts object from a matrix and date index. It also describes how to extract the data and index components from an xts object and discusses converting between classes, importing/exporting xts objects from external files.

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12 views15 pages

Chapter 1

This document introduces xts and zoo objects for manipulating time series data in R. It discusses that xts objects combine a matrix containing the observations with an index containing the timestamps. It provides an example of creating an xts object from a matrix and date index. It also describes how to extract the data and index components from an xts object and discusses converting between classes, importing/exporting xts objects from external files.

Uploaded by

Eanimations Bloggers
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Introducing xts and

zoo objects
M A N I P U L AT I N G T I M E S E R I E S D ATA W I T H X T S A N D Z O O I N R

Je rey Ryan
Creator of xts and quantmod
What is xts?
eXtensible Time Series

An extended zoo object

Matrix + Index

Observations + Times

MANIPULATING TIME SERIES DATA WITH XTS AND ZOO IN R


An xts example
# XTS = MATRIX + INDEX
x <- matrix(1:4, ncos = 2, nrow = 2)
x

[,1] [,2]
[1,] 1 3
[2,] 2 4

idx <- as.Date(c("2015-01-01", "2015-02-01"))


idx

"2015-01-01" "2015-02-01"

Class: Date , POSIX times , timeDate , chron ,…

MANIPULATING TIME SERIES DATA WITH XTS AND ZOO IN R


An xts example
# XTS = MATRIX + INDEX
X <- xts(x, order.by = idx)
X

[,1] [,2]
2015-01-01 1 3
2015-02-01 2 4

MANIPULATING TIME SERIES DATA WITH XTS AND ZOO IN R


The xts constructor
xts(x = NULL,
order.by = index(x),
frequency = NULL,
unique = NULL,
tzone = Sys.getenv("TZ"))

tzone: time zone of your series

unique: forces times to be unique

index is in increasing order of time

MANIPULATING TIME SERIES DATA WITH XTS AND ZOO IN R


An xts example
# XTS = MATRIX + INDEX
X <- xts(x, order.by = idx)
X

[,1] [,2]
2015-01-01 1 3
2015-02-01 2 4

MANIPULATING TIME SERIES DATA WITH XTS AND ZOO IN R


Special xts behavior
xts is a matrix with associated times for each observation

Subsets preserve matrix form

A ributes are preserved


i.e. a time-stamp that was acquired

xts is a subclass of zoo

MANIPULATING TIME SERIES DATA WITH XTS AND ZOO IN R


Deconstructing xts
Use internal components

coredata(x) is used to extract the data component

coredata(x, fmt = FALSE)

index(x) to extract the index a.k.a. times

index(x)

MANIPULATING TIME SERIES DATA WITH XTS AND ZOO IN R


Let's practice!
M A N I P U L AT I N G T I M E S E R I E S D ATA W I T H X T S A N D Z O O I N R
Importing, exporting
and converting time
series
M A N I P U L AT I N G T I M E S E R I E S D ATA W I T H X T S A N D Z O O I N R

Je rey Ryan
Creator of xts and quantmod
Reality check
Data usually already exists, and needs wrangling
O en data isn’t in your preferred class

Data needs to be imported into R and converted to xts

You will convert, read and export xts objects

MANIPULATING TIME SERIES DATA WITH XTS AND ZOO IN R


Converting using as.xts()
# Load data from R datasets head(sunspots_xts)
data(sunspots)
class(sunspots)
[,1]
Jan 1749 58.0
"ts" Feb 1749 62.6
Mar 1749 70.0
Apr 1749 55.7
sunspots_xts <- as.xts(sunspots)
May 1749 85.0
class(sunspots_xts)
Jun 1749 83.5

"xts" "zoo"

MANIPULATING TIME SERIES DATA WITH XTS AND ZOO IN R


Importing external data to xts
Read data into R using built in (or external) functions
i.e. read.table() , read.csv() , and read.zoo()

Coerce data to xts using

as.xts(read.table("file"))
as.xts(read.zoo("file"))

MANIPULATING TIME SERIES DATA WITH XTS AND ZOO IN R


Exporting xts from R
Sometimes you will need your data outside of R

Use write.zoo() for external use (i.e. text les)

write.zoo(x, "file")

Use saveRDS for R use

saveRDS(x, "file")

MANIPULATING TIME SERIES DATA WITH XTS AND ZOO IN R


Let's practice!
M A N I P U L AT I N G T I M E S E R I E S D ATA W I T H X T S A N D Z O O I N R

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