[R] outer join of xts's

[Gabor Grothendieck]

It is not clear what multiway left join means but merge.zoo (though
not merge.xts) supports a generalized all= argument which is a logical
vector having the same length as L that can be TRUE or FALSE for each
object merged.  The objects corresponding to TRUE will have all their
times included in the result but the ones with FALSE will only be
included if they correspond to an already existing time. merge.zoo is
R based whereas merge.xts is C based so I would not expect it to be as
fast although it is more powerful.

If All is the logical vector having the same length as L then:

    Lzoo <- lapply(L, as.zoo)
    do.call("merge",  c(Lzoo, list(all = All))

On Thu, Jan 2, 2020 at 9:31 AM Eric Berger <ericjberger using gmail.com> wrote:
>
> Hi Gabor,
> This is great, thanks. It brought the time down to about 4 seconds.
> The command
> do.call("merge.xts",L)
> also works in this case.
> Suppose that instead of the default "outer" join I wanted to use, say, a "left" join.
> Is that possible? I tried a few ways of adding the
> join="left"
> parameter to the do.call() command but I could not get the syntax to work (assuming it's even possible).
>
> Thanks,
> Eric
>
>
> On Thu, Jan 2, 2020 at 3:23 PM Gabor Grothendieck <ggrothendieck using gmail.com> wrote:
>>
>> You don't need Reduce as xts already supports mutliway merges.  This
>> perfroms one
>> multiway merge rather than  k-1 two way merges.
>>
>>     do.call("merge", L)
>>
>> On Thu, Jan 2, 2020 at 6:13 AM Eric Berger <ericjberger using gmail.com> wrote:
>> >
>> > Hi,
>> > I have a list L of about 2,600 xts's.
>> > Each xts has a single numeric column. About 90% of the xts's have
>> > approximately 500 rows, and the rest have fewer than 500 rows.
>> > I create a single xts using the command
>> >
>> > myXts <- Reduce( merge.xts, L )
>> >
>> > By default, merge.xts() does an outer join (which is what I want).
>> >
>> > The command takes about 80 seconds to complete.
>> > I have plenty of RAM on my computer.
>> >
>> > Are there faster ways to accomplish this task?
>> >
>> > Thanks,
>> > Eric
>> >
>> >         [[alternative HTML version deleted]]
>> >
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>>
>>
>>
>> --
>> Statistics & Software Consulting
>> GKX Group, GKX Associates Inc.
>> tel: 1-877-GKX-GROUP
>> email: ggrothendieck at gmail.com



-- 
Statistics & Software Consulting
GKX Group, GKX Associates Inc.
tel: 1-877-GKX-GROUP
email: ggrothendieck at gmail.com