[R] Store vectors as values in xts time-series object
drseergio at gmail.com
Sun Mar 4 19:00:15 CET 2012
Thank you for explaining this. I will think of a work-around.
On Sun, Mar 4, 2012 at 3:36 PM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
> Hi Sergey,
> Internally, xts objects are a matrix with an index attribute. While
> you *can* make a matrix of lists, that is not supported in zoo or xts.
> Joshua Ulrich | FOSS Trading: www.fosstrading.com
> R/Finance 2012: Applied Finance with R
> On Sun, Mar 4, 2012 at 4:23 AM, Sergey Pisarenko <drseergio at gmail.com> wrote:
>> Hi R programmers,
>> I have stumbled across what seems a very simple problem. My goal is to
>> create a xts time series object which contains vectors as values. In
>> other words, I try to create somethingSergey like this:
>> 2009-01-01 => c('aa', 'bb', 'dd')
>> 2010-02-01 => c('mm')
>> I have figured out parts of separately. Here's what works (new xts
>> time-series with simple FALSE values):
>>> getSymbols(src='yahoo', Symbols=c('SPY')) # this loads xts object into global environment under name SPY
>>> v <- vector(length=length(index(SPY))) # this creates a vector of the same length as the SPY time-series
>>> new_xts <- xts(v, order.by=index(SPY)) # this works and creates a time-series with FALSE as every value
>> 2009-01-01 FALSE
>> 2010-02-01 FALSE
>> Now, I'd like to create a xts object with vectors as values.
>> Presumably, I want lists to be used as values:
>>> myList <- vector("list", length=length(index(SPY))) # this creates a list of the same length as the SPY time-series
>>> for (i in 1:length(myList)) myList[[i]] <- c('aa', 'bb') # fill list with dummy test data
>>> new_xts_2 <- xts(myList, order.by=index(SPY)) # and I get an error
>> Error in coredata.xts(x) : currently unsupported data type
>> What am I doing wrong and how can this be implemented?
>> Truly appreciate your effort.
>> Kind Regards,
>> Sergey Pisarenko.
>> R-help at r-project.org mailing list
>> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
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