[R] outer join of xts's

[Eric Berger]

Hi Joshua,
Thanks for the comment but I guess I prefer a different behavior. If
merge.xts() cannot handle the objects I pass in, I want it to fail.
In fact, I typically adopt a naming convention where the variable name
indicates the type. In my normal coding style my example would look
like:
aXts <- xts(x=rnorm(5),order.by=dtV)
a1Xts <- aXts[1:3,]
a2Xts <- aXts[2:4,]
etc
Happy to hear your views on why other conventions might be better.

Regards,
Eric


On Fri, Jan 3, 2020 at 3:45 PM Joshua Ulrich <josh.m.ulrich using gmail.com> wrote:
>
> On Fri, Jan 3, 2020 at 1:14 AM Eric Berger <ericjberger using gmail.com> wrote:
> >
> > Hi Gabor and Duncan,
> > Thanks for your comments. As Gabor points out, Duncan's suggestion
> > does not work.
> > For those interested, here is some minimal reproducible example to illustrate
> >
> > library(xts)
> > dtV <- as.Date("2019-01-01")+1:5
> > a <- xts(x=rnorm(5),order.by=dtV)
> > a1 <- a[1:3,]
> > a2 <- a[2:4,]
> > a3 <- a[3:5,]
> > colnames(a1) <- "a1"
> > colnames(a2) <- "a2"
> > colnames(a3) <- "a3"
> > L <- list(a1,a2,a3)
> > b.outer.1 <- Reduce(merge.xts,L)
> > b.outer.2 <- do.call(merge.xts,L)
> > identical(b.outer.1,b.outer.2)
> > # TRUE
> > dim(b.outer.1)
> > # [1] 5 3
> > b.left.1 <- merge.xts( merge.xts(a1,a2,join="left"), a3, join="left" )
> > f <- function(x,y) { merge.xts(x,y,join="left")}
> > b.left.2 <- Reduce(f,L)
> > identical(b.left.1,b.left.2)
> > # TRUE
> > dim(b.left.1)
> > # [1] 3 3
> > b.left.3 <- do.call("merge",c(L,join="left"))
> > # Warning message:
> > # In merge.xts(c(0.316095105296857, -1.69318390538755, -1.16430042971811 :
> > #  'join' only applicable to two object merges
> > dim(b.left.3)
> > # [1] 5 3
> > identical(b.outer.1,b.left.3)
> > # TRUE
> >
> It's good practice to call generics and let dispatch determine what
> method to call, instead of calling the method directly.  There's no
> guarantee that merge.xts() will handle any objects you may
> accidentally pass to it. So you should replace all your merge.xts()
> calls with merge().
>
> >
> >
> > On Thu, Jan 2, 2020 at 11:39 PM Gabor Grothendieck
> > <ggrothendieck using gmail.com> wrote:
> > >
> > > join = "left" only applies with merge.xts if there are two objects.
> > > If there are more it acts the same as join = TRUE..
> > > See the Details section of ?merge.xts
> > >
> > > On Thu, Jan 2, 2020 at 1:29 PM Duncan Murdoch <murdoch.duncan using gmail.com> wrote:
> > > >
> > > > On 02/01/2020 9:31 a.m., Eric Berger 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).
> > > >
> > > > This should work:
> > > >
> > > >    do.call("merge", c(L, join = "left"))
> > > >
> > > > The second argument to do.call is a list which becomes the arguments to
> > > > the function being called.  Your time series should be unnamed entries
> > > > in the list, while other arguments to merge() should be named.
> > > >
> > > > Duncan Murdoch
> > > >
> > > > >
> > > > > 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]]
> > > > >>>
> > > > >>> ______________________________________________
> > > > >>> R-help using r-project.org mailing list -- To UNSUBSCRIBE and more, see
> > > > >>> https://stat.ethz.ch/mailman/listinfo/r-help
> > > > >>> PLEASE do read the posting guide
> > > > >> http://www.R-project.org/posting-guide.html
> > > > >>> and provide commented, minimal, self-contained, reproducible code.
> > > > >>
> > > > >>
> > > > >>
> > > > >> --
> > > > >> Statistics & Software Consulting
> > > > >> GKX Group, GKX Associates Inc.
> > > > >> tel: 1-877-GKX-GROUP
> > > > >> email: ggrothendieck at gmail.com
> > > > >>
> > > > >
> > > > >       [[alternative HTML version deleted]]
> > > > >
> > > > > ______________________________________________
> > > > > R-help using r-project.org mailing list -- To UNSUBSCRIBE and more, see
> > > > > https://stat.ethz.ch/mailman/listinfo/r-help
> > > > > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> > > > > and provide commented, minimal, self-contained, reproducible code.
> > > > >
> > > >
> > >
> > >
> > > --
> > > Statistics & Software Consulting
> > > GKX Group, GKX Associates Inc.
> > > tel: 1-877-GKX-GROUP
> > > email: ggrothendieck at gmail.com
> >
> > ______________________________________________
> > R-help using r-project.org mailing list -- To UNSUBSCRIBE and more, see
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > 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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