Aggregate time series

Aggregate a "timeSeries" object over general periods.

Usage

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

Arguments

x: an object of class "timeSeries".
by: a sequence of "timeDate" objects denoting the aggregation periods, see section ‘Details’.
FUN: the function to be applied.
...: arguments passed to other methods.

Details

aggregate aggregates x by applying FUN on the values of the time series in each of the aggregation periods, specified by argument by.

Argument by should be of the same class as time(x). by is sorted and duplicated values are removed from it. Each pair of consecutive values in by then determines a period over which to apply the aggregation function FUN, see findInterval.

Value

an object of class "timeSeries"

Examples

## Load Microsoft Data Set -
   x <- MSFT

## Aggregate by Weeks - 
   by <- timeSequence(from = start(x),  to = end(x), by = "week")
   aggregate(x, by, mean)
#> GMT 
#>                Open     High      Low    Close   Volume
#> 2000-09-27 63.43750 63.56250 59.81250 60.62500 53077800
#> 2000-10-04 59.65000 60.07500 57.70000 58.55000 40680380
#> 2000-10-11 54.97500 56.45000 54.16250 55.08750 36448900
#> 2000-10-18 53.03750 54.25000 50.83750 52.13750 50631280
#> 2000-10-25 61.78750 64.18750 60.08750 62.38750 86457340
#> 2000-11-01 66.13750 68.78750 65.85000 67.93750 53496000
#> 2000-11-08 69.83750 70.96876 68.68750 69.60000 53202820
#> 2000-11-15 68.43750 70.08750 67.13124 68.71250 41280860
#> 2000-11-22 68.08750 69.75000 67.13438 68.23750 41464220
#> 2000-11-29 69.15625 69.89062 67.29688 68.17188 43184175
#> 2000-12-06 59.30000 60.45000 56.51250 57.40000 57971300
#> 2000-12-13 56.37500 57.82500 54.85000 56.25000 52329080
#> 2000-12-20 49.64688 50.54688 47.20000 47.76250 56459820
#> 2000-12-27 44.62500 46.90625 43.98438 45.79688 51083775
#> 2001-01-03 44.09375 46.48438 43.21875 44.81250 49496525
#> 2001-01-10 49.25000 51.31250 48.32500 50.23750 49082480
#> 2001-01-17 53.71875 54.78125 52.12500 53.50000 39609175
#> 2001-01-24 59.03750 60.60000 58.03750 60.02500 57656080
#> 2001-01-31 62.96250 64.28750 61.98750 62.95000 40289680
#> 2001-02-07 61.62500 63.38750 60.97500 62.47500 41679580
#> 2001-02-14 60.22500 61.11250 58.43750 59.33750 39770480
#> 2001-02-21 57.15625 58.68750 56.14062 57.06250 32158025
#> 2001-02-28 57.46250 59.10312 56.48438 57.97500 46513080
#> 2001-03-07 58.36250 59.47500 57.38750 58.72188 33749140
#> 2001-03-14 55.52500 56.75626 53.82500 55.21250 45451820
#> 2001-03-21 53.82500 55.21562 52.29688 53.06250 46233500
#> 2001-03-28 55.21250 57.01250 54.33750 56.08750 46281860
#> 2001-04-04 54.92500 56.12500 53.37500 54.23750 45234480
#> 2001-04-11 57.05900 58.71450 56.34050 57.96150 48136060
#> 2001-04-18 61.21750 63.07750 60.62750 62.47000 49402875
#> 2001-04-25 67.99800 69.65800 67.10800 68.50600 61038700
#> 2001-05-02 69.35800 70.23800 67.81800 68.78600 49124540
#> 2001-05-09 70.21400 71.35600 69.48200 70.62400 44692860
#> 2001-05-16 69.33200 69.92400 68.44800 69.11000 31371080
#> 2001-05-23 68.93600 70.25600 68.24800 69.01200 47817480
#> 2001-05-30 70.49000 71.50250 69.58250 70.54000 36405225
#> 2001-06-06 70.65800 71.73200 69.79000 71.05200 34148380
#> 2001-06-13 72.34800 73.00800 71.41800 72.35200 28818960
#> 2001-06-20 68.20600 69.05000 66.95200 68.10600 36473940
#> 2001-06-27 69.18600 70.54200 68.46600 69.76000 30218820
#> 2001-07-04 71.62500 73.37750 70.50250 71.70250 40513375
#> 2001-07-11 66.96600 67.80600 65.54000 66.24800 32357220
#> 2001-07-18 70.96200 71.94400 70.28600 71.30200 36383520
#> 2001-07-25 68.35000 69.43000 67.36400 68.52800 42234800
#> 2001-08-01 66.32600 66.93000 65.54000 66.10400 30027700
#> 2001-08-08 66.71800 67.26200 65.68400 66.33600 21163460
#> 2001-08-15 65.09000 65.70800 63.92000 64.85000 20595220
#> 2001-08-22 62.42200 63.18800 61.01800 62.12800 26973000
#> 2001-08-29 61.11200 62.28400 59.98400 60.89400 25536780
#> 2001-09-05 57.31500 58.79750 56.07000 56.95750 39024075
#> 2001-09-12 55.86333 57.90000 55.30333 56.33333 47782067
#> 2001-09-19 53.96333 54.93333 52.19000 53.70000 56272467
#> 2001-09-26 50.94000 52.09200 49.55000 50.81000 53200500

## Aggregate to Last Friday of Month -
   by <- unique(timeLastNdayInMonth(time(x), 5))
   X <- aggregate(x, by, mean)
   X
#> GMT 
#>                Open     High      Low    Close   Volume
#> 2000-09-29 61.75000 62.25000 59.68750 60.75000 38761600
#> 2000-10-27 57.55625 59.29375 56.00625 57.56562 56372100
#> 2000-11-24 68.72697 70.21875 67.74095 68.96053 44467347
#> 2000-12-29 54.24154 55.53841 52.34635 53.37240 53435483
#> 2001-01-26 53.74306 55.60417 52.71528 54.57986 49482550
#> 2001-02-23 59.98355 61.29934 58.79934 59.90461 39193716
#> 2001-03-30 56.09250 57.47500 54.87625 56.13688 43340872
#> 2001-04-27 61.75026 63.26855 60.66579 62.08382 52669442
#> 2001-05-25 69.56000 70.59350 68.75750 69.70200 40581970
#> 2001-06-29 70.27083 71.39792 69.32333 70.48417 34949438
#> 2001-07-27 68.78474 69.65368 67.71474 68.60632 35630868
#> 2001-08-31 63.64240 64.44040 62.52000 63.33960 25102488
#> 2001-09-28 53.40357 54.79357 52.12071 53.42500 49792257
   dayOfWeek(time(X))
#> 2000-09-29 2000-10-27 2000-11-24 2000-12-29 2001-01-26 2001-02-23 2001-03-30 
#>      "Fri"      "Fri"      "Fri"      "Fri"      "Fri"      "Fri"      "Fri" 
#> 2001-04-27 2001-05-25 2001-06-29 2001-07-27 2001-08-31 2001-09-28 
#>      "Fri"      "Fri"      "Fri"      "Fri"      "Fri"      "Fri" 
   isMonthly(X)
#> [1] TRUE

## Aggregate to Last Day of Quarter -
   by <- unique(timeLastDayInQuarter(time(x)))
   X <-  aggregate(x, by, mean)
   X
#> GMT 
#>                Open     High      Low    Close   Volume
#> 2000-09-30 61.75000 62.25000 59.68750 60.75000 38761600
#> 2000-12-31 59.66245 61.15799 58.15104 59.40476 51663067
#> 2001-03-31 56.60282 58.10383 55.45111 56.83947 43853037
#> 2001-06-30 67.47548 68.69083 66.53270 67.70242 42081671
#> 2001-09-30 62.85552 63.81966 61.71155 62.67172 34511040
   isQuarterly(X)
#> [1] TRUE

Usage

Arguments

Details

Value

See also

Examples