Subsetting time series — TimeSeriesSubsettings • timeSeries

Objects from class "timeSeries" can be subsetted in different ways. Methods are defined for the subsetting operators "$", "[" and their assignment versions, as well as for some related functions from base R. A function to drop or extract outliers is also described here.

Usage

# S3 method for timeSeries
head(x, n = 6, recordIDs = FALSE, ...)
# S3 method for timeSeries
tail(x, n = 6, recordIDs = FALSE, ...)

outlier(x, sd = 5, complement = TRUE, ...)

Arguments

x: an object of class timeSeries.

n

an integer specifying the number of lines to be returned. By default n=6.

recordIDs

a logical value. Should the recordIDs be returned together with the data matrix and time series positions?

sd

a numeric value of standard deviations, e.g. 10 means that values larger or smaller than ten times the standard deviation will be removed from the series.

complement

a logical flag. If TRUE, the default, return the series free of outliers. If FALSE, return the outliers series.

...: arguments passed to other methods.

Details

The "timeSeries" methods for the subsetting operators "$", "[" and their assignment versions, as well as for the functions head and tail are meant to do what the user expects.

TODO: Further details are needed here, despite the above paragraph.

outlier drops the outliers if complement = TRUE and returns only them if complement = FALSE.

All functions described here return "timeSeries" objects.

See also window which extracts the sub-series between two datetimes.

Value

All functions return an object of class "timeSeries".

Examples

## Create an Artificial 'timeSeries' Object
setRmetricsOptions(myFinCenter = "GMT")
charvec <- timeCalendar()
set.seed(4711)
data <- matrix(exp(cumsum(rnorm(12, sd = 0.1))))
tS <- timeSeries(data, charvec, units = "tS")
tS
#> GMT 
#>                   tS
#> 2024-01-01 1.1995824
#> 2024-02-01 1.3757753
#> 2024-03-01 1.5506114
#> 2024-04-01 1.4887865
#> 2024-05-01 1.4005479
#> 2024-06-01 1.2043889
#> 2024-07-01 1.3069906
#> 2024-08-01 1.1867998
#> 2024-09-01 1.1815277
#> 2024-10-01 1.2389245
#> 2024-11-01 1.1230263
#> 2024-12-01 0.9596526
   
## Subset Series by Counts "["
tS[1:3, ]
#> GMT 
#>                  tS
#> 2024-01-01 1.199582
#> 2024-02-01 1.375775
#> 2024-03-01 1.550611
       
## Subset the Head of the Series
head(tS, 6)
#> GMT 
#>                  tS
#> 2024-01-01 1.199582
#> 2024-02-01 1.375775
#> 2024-03-01 1.550611
#> 2024-04-01 1.488787
#> 2024-05-01 1.400548
#> 2024-06-01 1.204389