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r xts包的to.period函数中有错误吗?

xts r

HaroldFinch · 技术社区 · 7 年前

我继承了一些分析模拟结果的R代码。在某一点上,该代码调用XTS包的 to.monthly 功能 indexAt = 'yearmon' 总结动物园的一些价值观。

该代码通常无问题地运行。然而,最近,在分析较旧数据的模拟时,需要 至.每月 生成了一些令人不安的警告消息,如:

Warning in zoo(xx, order.by = index(x), ...) :
  some methods for âzooâ objects do not work if the index entries in âorder.byâ are not unique

我把我的数据剔除到了仍然显示这个警告的最小值。从R代码开始:

library(xts)

z = structure(c(-1062503.35419463, -1080996.55425821, -1099783.92018741, 
-1122831.06978888, -1138804.79976585, -1158620.33101501, -1163717.44859603, 
-1183250.17288897, -1212428.97863421, -1234981.23171341, -1253605.89670471, 
-1269885.84780747, -1272023.98376509, -1284471.17954946, -1313114.61914572, 
-1334861.551294, -1349971.87378146, -1360596.77251109, -1363047.71977556, 
-1383840.30131117, -1407963.97518998, -1427010.7195352, -1451908.36211767, 
-1464563.94519573, -1470017.67402451, -1503642.02732151, -1529231.67395429, 
-1560593.79655716, -1582052.24505653, -1595391.99583389), index = structure(c(1111985820, 
1112072340, 1112158740, 1112245140, 1112331540, 1112392740, 1112587140, 
1112673540, 1112759880, 1112846340, 1112932200, 1112993940, 1113191940, 
1113278340, 1113364560, 1113451080, 1113537540, 1113598740, 1113796560, 
1113883140, 1113969540, 1114055940, 1114142220, 1114203540, 1114401480, 
1114487940, 1114574280, 1114660740, 1114747080, 1114808340), class = c("POSIXct", 
"POSIXt")), class = "zoo")

class(z)
head(z)
tail(z)

然后执行此调用 至.每月 :

to.monthly(z, indexAt = 'yearmon', name = "Monthly")

在生成此输出的计算机上:

Warning in zoo(xx, order.by = index(x), ...) :
  some methods for âzooâ objects do not work if the index entries in âorder.byâ are not unique
Warning in zoo(xx, order.by = index(x), ...) :
  some methods for âzooâ objects do not work if the index entries in âorder.byâ are not unique
         Monthly.Open Monthly.High Monthly.Low Monthly.Close
Apr 2005     -1062503     -1062503    -1138805      -1138805
Apr 2005     -1158620     -1158620    -1595392      -1595392

注意警告信息,后面是 至.每月 ,这是一个动物园,它的位置与 "Apr 2005" .

我花了一些时间在 每月 一行接一行,并确定错误实际上发生在 至.每月 的呼叫 to.period .

特别是,我发现 xx 内部局部变量 结束时间段 最初计算正确,但在该行之后

indexClass(xx) <- indexAt

执行时,即 XX 变得不唯一。

这个行为看起来确实像XTS包中的一个bug 结束时间段 对我有用。

我很想听到有人告诉我 to.monthly/to.period/yearmon 真的有效,要么确认这是一个bug,要么向我解释为什么不是,然后给我一个解决方法。

我发现 this possibly related report 在XTS Github页面上(我不完全理解)。

关于我的机器:

> sessionInfo()
R version 3.4.1 (2017-06-30)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: Windows 10 x64 (build 17134)

...   

other attached packages:
...
xts_0.10-0
zoo_1.8-0

当我启动rgui时,我看到关于xts的警告消息:

Warning: package âxtsâ was built under R version 3.4.2

1 回复 | 直到 7 年前

Joshua Ulrich 7 年前

z POSIXct "UTC"

"yearmon"

Sys.setenv(TZ = "America/Chicago")
debugonce(xts:::`indexClass<-.xts`)
to.monthly(z, indexAt="yearmon", name="monthly")
# <snip>
# Browse[2]> 
# debug: attr(attr(x, "index"), "tzone") <- "UTC"
# Browse[2]> print(x)  # When timezone is "America/Chicago"
#                     monthly.Open monthly.High monthly.Low monthly.Close
# 2005-03-31 22:59:00     -1062503     -1062503    -1138805      -1138805
# 2005-04-29 15:59:00     -1158620     -1158620    -1595392      -1595392
# Browse[2]> 
# debug: attr(attr(x, "index"), "tclass") <- value
# Browse[2]> print(x)  # When timezone is "UTC"
#                     monthly.Open monthly.High monthly.Low monthly.Close
# 2005-04-01 04:59:00     -1062503     -1062503    -1138805      -1138805
# 2005-04-29 20:59:00     -1158620     -1158620    -1595392      -1595392
# Warning message:
# timezone of object (UTC) is different than current timezone ().

attr(attr(x, "index"), "tzone") <- "UTC" print(x)

indexClass<-