[R] dataframe to a timeseries object

Daniele Amberti daniele.amberti at ors.it
Fri Mar 11 14:44:22 CET 2011


I’m wondering which is the most efficient (time, than memory usage) way to obtain a multivariate time series object from a data frame (the easiest data structure to get data from a database trough RODBC).
I have a starting point using timeSeries or xts library (these libraries can handle time zones), below you can find code to test.
Merging parallelization (cbind) is something I’m thinking at (suggestions from users with experience on this topic is highly appreciated), any suggestion is welcome.
My platform is Windows XP, R 2.12.1, latest available packages on CRAN for timeSeries and xts.


set.seed(123)

N <- 9000
X <- data.frame(
  ID = c(rep(1,N), rep(2,N,), rep(3,N), rep(4,N)),
  DATE = rep(as.POSIXct("2000-01-01", tz = "GMT")+ 0:(N-1), 4),
  VALUE = runif(N*4))

library(timeSeries)
buildTimeSeriesFromDataFrame <- function(x, env)
{
  {
    if(exists("xx", envir = env))
      assign("xx",
        cbind(get("xx", env), timeSeries(x$VALUE, x$DATE, format = '%Y-%m-%d %H:%M:%S',
          zone = 'GMT', units = as.character(x$ID[1]))),
        envir = env)
    else
      assign("xx",
        timeSeries(x$VALUE, x$DATE, format = '%Y-%m-%d %H:%M:%S',
          zone = 'GMT', units = as.character(x$ID[1])),
        envir = env)

    return(TRUE)
  }
}


fooBy <- function(...)
{
  e1 <- new.env(parent = baseenv())
  res <- by(X, X$ID, buildTimeSeriesFromDataFrame,
      env = e1, simplify = TRUE)
  return(get("xx", e1))
}

Time01 <- replicate(100,
  system.time(fooBy(X,
    X$ID, buildTimeSeriesFromDataFrame,
    simplify = TRUE))[[1]])

median(Time01)
hist(Time01)

library(xts)

buildXtsFromDataFrame <- function(x, env)
{
  {
    if(exists("xx", envir = env))
      assign("xx",
        cbind(get("xx", env), xts(x$VALUE,
          as.POSIXct(x$DATE, format = '%Y-%m-%d %H:%M:%S'),
          tzone = 'GMT')),
        envir = env)
    else
      assign("xx",
        xts(x$VALUE, as.POSIXct(x$DATE, format = '%Y-%m-%d %H:%M:%S'),
          tzone = 'GMT'),
        envir = env)

    return(TRUE)
  }
}

fooBy <- function(...)
{
  e1 <- new.env(parent = baseenv())
  res <- by(X, X$ID, buildXtsFromDataFrame,
      env = e1, simplify = TRUE)
  return(get("xx", e1))
}

Time02 <- replicate(100,
  system.time(fooBy(X,
    X$ID, buildTimeSeriesFromDataFrame,
    simplify = TRUE))[[1]])

median(Time02)
hist(Time02)

plot(density(Time02), xlim = c(min(c(Time02, Time01)), max(c(Time02, Time01))))
lines(density(Time01))


Best regards,
Daniele Amberti



ORS Srl

Via Agostino Morando 1/3 12060 Roddi (Cn) - Italy
Tel. +39 0173 620211
Fax. +39 0173 620299 / +39 0173 433111
Web Site www.ors.it

------------------------------------------------------------------------------------------------------------------------
Qualsiasi utilizzo non autorizzato del presente messaggio e dei suoi allegati è vietato e potrebbe costituire reato.
Se lei avesse ricevuto erroneamente questo messaggio, Le saremmo grati se provvedesse alla distruzione dello stesso
e degli eventuali allegati.
Opinioni, conclusioni o altre informazioni riportate nella e-mail, che non siano relative alle attività e/o
alla missione aziendale di O.R.S. Srl si intendono non  attribuibili alla società stessa, né la impegnano in alcun modo.


More information about the R-help mailing list