[Rd] Maybe bug? Using non-integer frequencies in stats::ts
Duncan Murdoch
murdoch@dunc@n @end|ng |rom gm@||@com
Fri Dec 6 18:35:32 CET 2019
To R-devel:
I've sent this to Johann privately already; just in case anyone else is
interested in this issue, here's what I wrote:
Just started looking into it, and discovered this paragraph in ?ts:
"The value of argument frequency is used when the series is sampled an
integral number of times in each unit time interval. For example, one
could use a value of 7 for frequency when the data are sampled daily,
and the natural time period is a week, or 12 when the data are sampled
monthly and the natural time period is a year. Values of 4 and 12 are
assumed in (e.g.) print methods to imply a quarterly and monthly series
respectively."
That says that frequency will be a positive integer, so frequency=0.2
was not intended to be covered, and I'd say it's not exactly a bug that
it doesn't work. (It might be called a bug that there's no error message.)
On the other hand, it comes close to working, and it seems like allowing
frequency=0.2 would be a useful addition. I'm going to keep looking,
and see how hard it would be to get this to work properly. If it
doesn't break other things, I may submit this as an enhancement.
Duncan Murdoch
On 06/12/2019 10:00 a.m., Johann R. Kleinbub wrote:
> Thank you for the quick follow up, Duncan.
> Unfortunately extend=TRUE is called internally in various instances such as
> when replacing parts of the time-series with window<-.ts
> Consider the following examples of time series with ugly values:
> x = 1:22
> foo = ts(x, start = 1.5, end = 106.5, frequency = 0.2) # a ts of 525 cycles
> bar = ts(x, start = 2.5, end = 107.5, frequency = 0.2) # a ts of 525 cycles
> starting 5 cycles later than foo
> qux = ts(x, start = 2.5, end = 102.5, frequency = 0.2) # a ts of 500 cycles
> starting 5 cycles later than foo
>
> # extraction works fine
> window(foo, start = 20, end = 30) # works fine
> window(bar, start = 20, end = 30) # works fine
> window(qux, start = 20, end = 30) # works fine
>
> # assignment fails in different ways for bar and qux
> window(foo, start = 20, end = 30) <- NA # works fine
> window(bar, start = 20, end = 30) <- NA # ERROR: "invalid time series
> parameters specified"
> window(qux, start = 20, end = 30) <- NA # ERROR: "times to be replaced do
> not match"
>
> If extraction works fine, there's no reason why replacing the values should
> fail.
> I don't have an account on bugs.r-project.org yet. I'd be available to do
> the report if I'm assigned one.
> Best,
> Johann
>
> On Thu, 5 Dec 2019 at 17:46, Duncan Murdoch <murdoch.duncan using gmail.com>
> wrote:
>
>> On 05/12/2019 11:00 a.m., Johann R. Kleinbub wrote:
>>> It's been three months without an answer, is it ok to thread bump?
>>> Would someone provide a pointer?
>>
>> I agree it's a bug, and agree with your analysis. You should report it
>> on bugs.r-project.org. (If you don't have an account there, let us
>> know, and either someone will give you one, or someone will report it
>> for you.)
>>
>> As a workaround, I don't see it happening with extend=FALSE, but of
>> course that might not suit your needs in general.
>>
>> Duncan Murdoch
>>
>>
>>
>>>
>>> Thank you for your consideration,
>>> Johann
>>>
>>>
>>> On Mon, 16 Sep 2019 at 15:53, Johann R. Kleinbub <
>> johann.kleinbub using gmail.com>
>>> wrote:
>>>>
>>>> I am developing a package to analyse physiological time-series and I
>>> thought that the most reliable and robust solution was to base it on the
>>> native stats::ts class. In my domain it is common to express series
>>> frequencies as samples-per-second. So ts(..., frequency=10) would mean a
>>> signal sampled 10 times every second, and ts(..., frequency = 1) a signal
>>> sampled every second. Following this logic, a few slower signals are
>>> sampled every 5 seconds (or more), resulting in a frequency of e.g. 0.2
>>>> Nowhere in the documentation is stated that the frequency must be an
>>> integer value, but using fractional values gives inconsistent results.
>>>> For instance, in this example, foo and bar are identical, just with
>>> start-end values shifted by 1. Yet when extracting an arbitrary window,
>> the
>>> 'bar' series gives error.
>>>>
>>>> x = 1:22
>>>> foo = ts(x, start = 1.5, end = 106.5, frequency = 0.2)
>>>> bar = ts(x, start = 2.5, end = 107.5, frequency = 0.2)
>>>>
>>>> window(foo, start = 20, end = 30, extend=TRUE)
>>>>
>>>> # Time Series:
>>>> # Start = 20
>>>> # End = 25
>>>> # Frequency = 0.2
>>>> # [1] 5 6
>>>>
>>>> window(bar, start = 20, end = 30, extend=TRUE)
>>>>
>>>> # Error in attr(y, "tsp") <- c(ystart, yend, xfreq) :
>>>> # invalid time series parameters specified
>>>>
>>>> The reason is in the rounding procedures for ystart and yend at the end
>>> of the stats::window function. For the 'foo' series the ystart and yend
>>> values are calculated as: c(20, 25), whereas for the 'bar' series, they
>>> become c(20, 30) although the window should be of the very same size in
>>> both cases. (A further discussion on the example is at:
>>> https://stackoverflow.com/questions/57928054 )
>>>> Should I report a bug or am I misunderstanding something?
>>>>
>>>> --
>>>> Johann R. Kleinbub, PhD
>>>> University of Padova
>>>> FISPPA Dep. - Section of Applied Psychology
>>>> Cell: +39 3495986373
>>>
>>>
>>>
>>> --
>>> Johann R. Kleinbub, PhD
>>> University of Padova
>>> FISPPA Dep. - Section of Applied Psychology
>>> Cell: +39 3495986373
>>>
>>> [[alternative HTML version deleted]]
>>>
>>> ______________________________________________
>>> R-devel using r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-devel
>>>
>>
>>
>
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