[Rd] Re: irregular time-series

Adrian Trapletti adrian.trapletti at lmttrading.com
Fri Jun 13 15:29:41 MEST 2003

"Heywood, Giles" wrote:

> I make quite a lot of use of irregular time-series, and had already spent a
> bit of time writing an 'its' class when the 'irts' class was released via
> the package 'tseries'.
> I have experimented with the 'irts' class, and have some practical issues
> with its use.  In some applications of irregular time-series (in my case
> these are financial and econometric) there are many instances where it is
> useful to consider them as an extension (subclass) of the class 'matrix',
> using S4 class inheritance.  This is also useful in printing.
> The 'its' class I have written is an S4 extension of the matrix class, using
> a single slot for a POSIX  dates vector, which time-indexes the rows.  The
> practical advantage of this, compared to the 'irts' class, is that the
> matrix methods are inherited.
> In addition to file operations and some simple functions, I have also
> written a number of method extensions for this 'its' class, including [.its,
> [[.its, intersect, union, diff, lag.
> Is there value in such a package, given the resemblance of 'its' to the
> existing 'irts' class?  I would be happy to contribute it, and provide some
> maintenance.

(First sorry for the late reply). Yes of course. My suggestion is that you
provide us with its (as a standalone package, or I would be happy to include it
in tseries), and we can all experiment a bit with both classes and maybe merge
them later on?

> Giles Heywood
> Senior Quantitative Analyst
> Commerzbank Securities


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