[Rd] [R] aggregate.ts

[Gabor Grothendieck]

On 7/25/07, Paul Gilbert <pgilbert at bank-banque-canada.ca> wrote:
> (moved from r-help)
>
> Achim Zeileis wrote:
>
> >On Wed, 25 Jul 2007, laimonis wrote:
> >
> >
> >
> >>Consider the following scrap of code:
> >>
> >>
> >
> >...slightly modified to
> >  x1 <- ts(1:24, start = c(2000, 10), freq = 12)
> >  x2 <- ts(1:24, start = c(2000, 11), freq = 12)
> >
> >and then
> >  y1 <- aggregate(x1, nfreq = 4)
> >gives the desired result while
> >  y2 <- aggregate(x2, nfreq = 4)
> >probably does not what you would like it to do.
> >
>
> I've been caught by this before, and complained before.  It does not do
> what most people that work with economic time series would expect.  (One
> might argue that not all time series are economic, but other time series
> don't usually fit with ts very well.)  At the very least aggregate
> should issue a warning.  Quarterly observations are for quarters of the
> year, so just arbitrarily grouping in 3 beginning with the first
> observation is *extremely* misleading, even if it is documented.
>
> [ BTW, there is a bug in the print method here (R-2.5.1 on Linux) :
>  >   y2 <- aggregate(x2, nfreq = 4)
>  >
>  > y2
> Error in rep.int("", start.pad) : invalid number of copies in rep.int()
>  > traceback()
> 5: rep.int("", start.pad)
> 4: as.vector(data)
> 3: matrix(c(rep.int("", start.pad), format(x, ...), rep.int("",
>       end.pad)), nc = fr.x, byrow = TRUE, dimnames = list(dn1,
>       dn2))
> 2: print.ts(c(6L, 15L, 24L, 33L, 42L, 51L, 60L, 69L))
> 1: print(c(6L, 15L, 24L, 33L, 42L, 51L, 60L, 69L))
> ]
>
> ....
>
> >Currently, the "zoo" implementation allows this: Coercing back and forth
> >gives:
> >  library("zoo")
> >  z1 <- as.ts(aggregate(as.zoo(x1), as.yearqtr, sum))
> >  z2 <- as.ts(aggregate(as.zoo(x2), as.yearqtr, sum))
> >
> >
> This is better, but still potentially misleading. I would prefer a
> default  NA when only some of the observations are available for a
> quarter  (and the syntax is a bit cumbersome for something one needs to
> do fairly often).
>

That can be readily handled with a custom sum function:

sum.na <- function(x, width, ...) {
	if (!missing(width) && length(x) != width) x <- NA * x
	sum(x, ...)
}

> as.ts(aggregate(as.zoo(x2), as.yearqtr, sum.na, width = 3))
     Qtr1 Qtr2 Qtr3 Qtr4
2000                  NA
2001   12   21   30   39
2002   48   57   66   NA