xts: eXtensible Time Series
時系列データ操作
- CRAN: http://cran.r-project.org/web/packages/xts/index.html
- GitHub: https://github.com/joshuaulrich/xts
- URL: http://r-forge.r-project.org/projects/xts/
> library(xts)
> data("sample_matrix")
バージョン: 0.9.7
| 関数名 | 概略 |
|---|---|
.dimnames.xts |
Internal Documentation |
.parseISO8601 |
Internal ISO 8601:2004(e) Time Parser CLASS Extract and Set .CLASS Attribute |
[.xts |
Extract Subsets of xts Objects |
align.time |
Align seconds, minutes, and hours to beginning of next period. |
apply.monthly |
Apply Function over Calendar Periods |
as.environment.xts |
Coerce an 'xts' Object to an Environment by Column |
as.xts |
Convert Object To And From Class xts |
as.xts.methods |
Convert Object To And From Class xts |
axTicksByTime |
Compute x-Axis Tickmark Locations by Time |
coredata.xts |
Extract/Replace Core Data of an xts Object |
diff.xts |
Lags and Differences of xts Objects |
dimnames.xts |
Dimnames of an xts Object |
endpoints |
Locate Endpoints by Time |
first |
Return First or Last n Elements of A Data Object |
firstof |
Create a POSIXct Object |
indexClass |
Extracting/Replacing the Class of an xts Index |
indexTZ |
Query the TimeZone of an xts object |
isOrdered |
Check If A Vector Is Ordered |
make.index.unique |
Force Time Values To Be Unique |
merge.xts |
Merge xts Objects |
na.locf.xts |
Last Observation Carried Forward |
ndays |
Number of Periods in Data |
period.apply |
Apply Function Over Specified Interval |
period.max |
Calculate Max By Period |
period.min |
Calculate Min By Period |
period.prod |
Calculate Product By Period |
period.sum |
Calculate Sum By Period |
periodicity |
Approximate Series Periodicity |
plot.xts |
Plotting xts Objects |
rbind.xts |
Concatenate Two or More xts Objects by Row |
sample_matrix |
Sample Data Matrix For xts Example and Unit Testing |
split.xts |
Divide into Groups by Time |
timeBased |
Check if Class is Time-Based |
timeBasedSeq |
Create a Sequence or Range of Times |
to.period |
Convert time series data to an OHLC series |
xts |
Create Or Test For An xts Time-Series Object |
xts-package |
xts: extensible time-series |
xtsAPI |
xts C API Documentation |
xtsAttributes |
Extract and Replace xts Attributes |
.parseISO8601
日付と時刻の表記に関する国際規格であるISO 8601
> .parseISO8601(x = "2015")
$first.time
[1] "2015-01-01 JST"
$last.time
[1] "2015-12-31 23:59:59 JST"
align.time
日付・時間クラスのオブジェクトを指定の時間単位で区切る
Arguments
- x
- n
- ...
> x <- Sys.time() + 1:1000
> x %>% head()
[1] "2016-11-02 02:22:09 JST" "2016-11-02 02:22:10 JST"
[3] "2016-11-02 02:22:11 JST" "2016-11-02 02:22:12 JST"
[5] "2016-11-02 02:22:13 JST" "2016-11-02 02:22:14 JST"
> # 10秒ごと
> align.time(x, 10) %>% head()
[1] "2016-11-02 02:22:10 JST" "2016-11-02 02:22:20 JST"
[3] "2016-11-02 02:22:20 JST" "2016-11-02 02:22:20 JST"
[5] "2016-11-02 02:22:20 JST" "2016-11-02 02:22:20 JST"
> # 1分間
> align.time(x, 60) %>% sample(10)
[1] "2016-11-02 02:25:00 JST" "2016-11-02 02:34:00 JST"
[3] "2016-11-02 02:35:00 JST" "2016-11-02 02:23:00 JST"
[5] "2016-11-02 02:36:00 JST" "2016-11-02 02:32:00 JST"
[7] "2016-11-02 02:36:00 JST" "2016-11-02 02:26:00 JST"
[9] "2016-11-02 02:24:00 JST" "2016-11-02 02:23:00 JST"
> align.time(x, 10 * 60) %>% sample(10)
[1] "2016-11-02 02:30:00 JST" "2016-11-02 02:40:00 JST"
[3] "2016-11-02 02:40:00 JST" "2016-11-02 02:40:00 JST"
[5] "2016-11-02 02:30:00 JST" "2016-11-02 02:30:00 JST"
[7] "2016-11-02 02:40:00 JST" "2016-11-02 02:40:00 JST"
[9] "2016-11-02 02:40:00 JST" "2016-11-02 02:40:00 JST"
apply.monthly / apply.weekly / apply.monthly / apply.quarterly / apply.yearly
関数の適用
Arguments
- x
- FUN
- ...
> xts.ts <- xts(rnorm(21), as.Date((Sys.Date() %>% as.numeric() - 20):Sys.Date() %>% as.numeric(), origin = "1970-01-01"))
>
> apply.monthly(xts.ts, mean)
[,1]
2016-10-31 0.2121055
2016-11-02 0.4925435
> apply.monthly(xts.ts, function(x) var(x))
[,1]
2016-10-31 1.06397958
2016-11-02 0.03207111
as.environment.xts
> x <- xts(1:10, Sys.Date() + 1:10)
> colnames(x) <- "X"
> y <- xts(1:10, Sys.Date() + 1:10)
> colnames(x) <- "Y"
> xy <- cbind(x,y)
>
> e <- as.environment(xy)
> ls(xy)
[1] "Y"
> ls.str(xy)
Y : An 'xts' object on 2016-11-03/2016-11-12 containing:
Data: int [1:10, 1] 1 2 3 4 5 6 7 8 9 10
- attr(*, "dimnames")=List of 2
..$ : NULL
..$ : chr "Y"
Indexed by objects of class: [Date] TZ: UTC
xts Attributes:
NULL
as.xts / xtsible / Reclass / try.xts / reclass
xtsクラスオブジェクトへの変換を試みる
Arguments
- x
- match.to
- error
- ...
> as.xts(sample_matrix) %>% {
+ head(.) %>% print()
+ class(.)
+ }
Open High Low Close
2007-01-02 50.03978 50.11778 49.95041 50.11778
2007-01-03 50.23050 50.42188 50.23050 50.39767
2007-01-04 50.42096 50.42096 50.26414 50.33236
2007-01-05 50.37347 50.37347 50.22103 50.33459
2007-01-06 50.24433 50.24433 50.11121 50.18112
2007-01-07 50.13211 50.21561 49.99185 49.99185
[1] "xts" "zoo"
diff.xts
> x <- xts(1:10, Sys.Date() + 1:10)
> lag(x)
[,1]
2016-11-03 NA
2016-11-04 1
2016-11-05 2
2016-11-06 3
2016-11-07 4
2016-11-08 5
2016-11-09 6
2016-11-10 7
2016-11-11 8
2016-11-12 9
> diff.xts(x)
[,1]
2016-11-03 NA
2016-11-04 1
2016-11-05 1
2016-11-06 1
2016-11-07 1
2016-11-08 1
2016-11-09 1
2016-11-10 1
2016-11-11 1
2016-11-12 1
> diff.xts(x, lag = 1)
[,1]
2016-11-03 NA
2016-11-04 1
2016-11-05 1
2016-11-06 1
2016-11-07 1
2016-11-08 1
2016-11-09 1
2016-11-10 1
2016-11-11 1
2016-11-12 1
> diff.xts(x, diff = 2)
[,1]
2016-11-03 NA
2016-11-04 NA
2016-11-05 0
2016-11-06 0
2016-11-07 0
2016-11-08 0
2016-11-09 0
2016-11-10 0
2016-11-11 0
2016-11-12 0
> diff(diff(x))
[,1]
2016-11-03 NA
2016-11-04 NA
2016-11-05 0
2016-11-06 0
2016-11-07 0
2016-11-08 0
2016-11-09 0
2016-11-10 0
2016-11-11 0
2016-11-12 0
endpoints
Arguments
- x
- on
- k
> endpoints(sample_matrix, on = "weeks")
[1] 0 7 14 21 28 35 42 49 56 63 70 77 84 91 98 105 112
[18] 119 126 133 140 147 154 161 168 175 180
first / last
要素の先頭・末尾から値を抽出する
Arguments
- x
- n
- keep
- ...
> x <- xts(1:100, Sys.Date() + 1:100)
>
> first(x, n = 10)
[,1]
2016-11-03 1
2016-11-04 2
2016-11-05 3
2016-11-06 4
2016-11-07 5
2016-11-08 6
2016-11-09 7
2016-11-10 8
2016-11-11 9
2016-11-12 10
> last(x, n = "4 days")
[,1]
2017-02-07 97
2017-02-08 98
2017-02-09 99
2017-02-10 100
firstof / lastof
POSIXctクラスオブジェクトを生成する ref) ISOdatetime()
Arguments
- year, month, day
- hour, min, sec
- tz
> firstof(2016)
[1] "2016-01-01 JST"
> lastof(year = 2010, month = 12)
[1] "2010-12-31 23:59:59 JST"
> firstof(2016, 4, 20, 22, 00, 1, tz = "Asia/Tokyo")
[1] "2016-04-20 22:00:01 JST"
indexTZ / tzone
タイムゾーンの特定と代入
Arguments
- x
- value
- ...
> x <- xts(1:10, Sys.Date() + 1:10)
> indexTZ(x)
[1] "UTC"
> tzone(x)
[1] "UTC"
> str(x)
An 'xts' object on 2016-11-03/2016-11-12 containing:
Data: int [1:10, 1] 1 2 3 4 5 6 7 8 9 10
Indexed by objects of class: [Date] TZ: UTC
xts Attributes:
NULL
na.fill
Arguments
- object
- fill
- ix
- ...
> z <- zoo(c(NA, 2, NA, 1, 4, 5, 2, NA))
> na.fill(z, fill = "extend")
1 2 3 4 5 6 7 8
2.0 2.0 1.5 1.0 4.0 5.0 2.0 2.0
period.sum
> period.sum(c(1, 1, 4, 2, 2, 6, 7, 8, -1, 20), c(0, 3, 5, 8, 10))
3 5 8 10
6 4 21 19
periodicity
周期性の予測
> zoo.ts <- zoo::zoo(rnorm(231), as.Date(13514:13744, origin = "1970-01-01"))
> periodicity(zoo.ts)
Daily periodicity from 2007-01-01 to 2007-08-19
rbind.xts
複数のtsクラスオブジェクトを結合する
Arguments
- ...
- deparse.level
> (x <- xts(rep(1,5), Sys.Date() + c(1, 2, 2, 2, 3)))
[,1]
2016-11-03 1
2016-11-04 1
2016-11-04 1
2016-11-04 1
2016-11-05 1
> (y <- xts(rep(2,3), Sys.Date() + c(1, 2, 3)))
[,1]
2016-11-03 2
2016-11-04 2
2016-11-05 2
> rbind(x, y)
[,1]
2016-11-03 1
2016-11-03 2
2016-11-04 1
2016-11-04 1
2016-11-04 1
2016-11-04 2
2016-11-05 1
2016-11-05 2
> merge(y, x)
y x
2016-11-03 2 1
2016-11-04 2 1
2016-11-04 NA 1
2016-11-04 NA 1
2016-11-05 2 1
sample_matrix
xtsクラスオブジェクトデモのための180行４列からなる行列データ。
> data("sample_matrix")
>
> sample_matrix %>% {
+ head(.) %>% print()
+ str(.) %>% print()
+ class(.)
+ }
Open High Low Close
2007-01-02 50.03978 50.11778 49.95041 50.11778
2007-01-03 50.23050 50.42188 50.23050 50.39767
2007-01-04 50.42096 50.42096 50.26414 50.33236
2007-01-05 50.37347 50.37347 50.22103 50.33459
2007-01-06 50.24433 50.24433 50.11121 50.18112
2007-01-07 50.13211 50.21561 49.99185 49.99185
num [1:180, 1:4] 50 50.2 50.4 50.4 50.2 ...
- attr(*, "dimnames")=List of 2
..$ : chr [1:180] "2007-01-02" "2007-01-03" "2007-01-04" "2007-01-05" ...
..$ : chr [1:4] "Open" "High" "Low" "Close"
NULL
[1] "matrix"
split.xts
時系列データの分割
Arguments
- x
- f
- drop
- k
- ...
> as.xts(sample_matrix) %>% {
+ split(., f = "weeks", k = 4) %>% .[[1]] %>% print()
+ split(., f = "months") %>% .[[1]]
+ }
Open High Low Close
2007-01-02 50.03978 50.11778 49.95041 50.11778
2007-01-03 50.23050 50.42188 50.23050 50.39767
2007-01-04 50.42096 50.42096 50.26414 50.33236
2007-01-05 50.37347 50.37347 50.22103 50.33459
2007-01-06 50.24433 50.24433 50.11121 50.18112
2007-01-07 50.13211 50.21561 49.99185 49.99185
2007-01-08 50.03555 50.10363 49.96971 49.98806
Open High Low Close
2007-01-02 50.03978 50.11778 49.95041 50.11778
2007-01-03 50.23050 50.42188 50.23050 50.39767
2007-01-04 50.42096 50.42096 50.26414 50.33236
2007-01-05 50.37347 50.37347 50.22103 50.33459
2007-01-06 50.24433 50.24433 50.11121 50.18112
2007-01-07 50.13211 50.21561 49.99185 49.99185
2007-01-08 50.03555 50.10363 49.96971 49.98806
2007-01-09 49.99489 49.99489 49.80454 49.91333
2007-01-10 49.91228 50.13053 49.91228 49.97246
2007-01-11 49.88529 50.23910 49.88529 50.23910
2007-01-12 50.21258 50.35980 50.17176 50.28519
2007-01-13 50.32385 50.48000 50.32385 50.41286
2007-01-14 50.46359 50.62395 50.46359 50.60145
2007-01-15 50.61724 50.68583 50.47359 50.48912
2007-01-16 50.62024 50.73731 50.56627 50.67835
2007-01-17 50.74150 50.77336 50.44932 50.48644
2007-01-18 50.48051 50.60712 50.40269 50.57632
2007-01-19 50.41381 50.55627 50.41278 50.41278
2007-01-20 50.35323 50.35323 50.02142 50.02142
2007-01-21 50.16188 50.42090 50.16044 50.42090
2007-01-22 50.36008 50.43875 50.21129 50.21129
2007-01-23 50.03966 50.16961 50.03670 50.16961
2007-01-24 50.10953 50.26942 50.06387 50.23145
2007-01-25 50.20738 50.28268 50.12913 50.24334
2007-01-26 50.16008 50.16008 49.94052 50.07024
2007-01-27 50.06041 50.09777 49.97267 50.01091
2007-01-28 49.96586 50.00217 49.87468 49.88096
2007-01-29 49.85624 49.93038 49.76308 49.91875
2007-01-30 49.85477 50.02180 49.77242 50.02180
2007-01-31 50.07049 50.22578 50.07049 50.22578
timeBased
時系列データを扱うためのクラスオブジェクトであるかを検証。対応するのはDate, POSIXct, chron, yearmon, yearqtrおよびtimeDate
> timeBased(Sys.time())
[1] TRUE
> timeBased(Sys.Date())
[1] TRUE
> lubridate::today() %>% timeBased()
[1] TRUE
to.period / to.minutes / to.minutes3 / to.minutes5 / to.minutes10 / to.minutes15 / to.minutes30 / to.hourly / to.daily / to.weekly / to.monthly / to.quarterly / to.yearly
日付・時間クラスオブジェクトをOHLCへ変換する
Arguments
- x
- period
- indexAt
- drop.time
- k
- name
- OHLC
- ...
> as.xts(sample_matrix) %>% {
+ to.monthly(.) %>% print()
+ to.quarterly(.)
+ }
..Open ..High ..Low ..Close
1 2007 50.03978 50.77336 49.76308 50.22578
2 2007 50.22448 51.32342 50.19101 50.77091
3 2007 50.81620 50.81620 48.23648 48.97490
4 2007 48.94407 50.33781 48.80962 49.33974
5 2007 49.34572 49.69097 47.51796 47.73780
6 2007 47.74432 47.94127 47.09144 47.76719
..Open ..High ..Low ..Close
2007 Q1 50.03978 51.32342 48.23648 48.97490
2007 Q2 48.94407 50.33781 47.09144 47.76719
xts
時系列オブジェクトの生成
Arguments
- x
- order.by
- frequency
- unique
- tzone
> xts.ts <- xts(x = rnorm(21),
+ order.by = as.Date((Sys.Date() %>% as.numeric() - 20):Sys.Date() %>% as.numeric(), origin = "1970-01-01"))
> xts.ts
[,1]
2016-10-13 0.74197765
2016-10-14 0.78598765
2016-10-15 -1.30252699
2016-10-16 0.51848262
2016-10-17 -0.15804097
2016-10-18 -2.24990441
2016-10-19 1.19197067
2016-10-20 -0.07112146
2016-10-21 -1.19009834
2016-10-22 1.47584784
2016-10-23 0.52914928
2016-10-24 0.73792712
2016-10-25 -0.09567862
2016-10-26 -1.46709248
2016-10-27 1.83147417
2016-10-28 -1.10034182
2016-10-29 -1.14820687
2016-10-30 0.81639389
2016-10-31 -0.51827925
2016-11-01 -1.29435673
2016-11-02 -0.38568130
> xts(1:5, Sys.Date() + 1:5)
[,1]
2016-11-03 1
2016-11-04 2
2016-11-05 3
2016-11-06 4
2016-11-07 5