Trying to use the window function from R

up vote
3
down vote

favorite

This is my dataframe:

structure(list(dates = structure(c(16162, 16161, 16160, 16157, 

16156, 16155, 16154, 16153, 16150, 16149, 16148, 16147, 16146, 

16143, 16142, 16141, 16140, 16139, 16136, 16135, 16134, 16129, 

16128, 16127, 16126, 16125, 16122, 16121, 16120, 16119, 16118, 

16115, 16114, 16113, 16112, 16111, 16108, 16107, 16106, 16105, 

16104, 16101, 16100, 16099, 16098, 16097, 16094, 16093, 16092, 

16091), class = "Date"), VALE5 = c(28.29, 28.26, 28.35, 27.81, 

27.85, 27.5, 27.61, 27.16, 27.2, 26.64, 26.57, 26.55, 26, 26.1, 

25.9, 26.46, 26.1, 26.37, 27.09, 28.11, 28.11, 29.09, 29.31, 

29.02, 29, 29.76, 30.61, 30.59, 30.9, 30.6, 30.74, 30.96, 30.76, 

30.79, 30.77, 30.44, 30.66, 30.8, 29.94, 29.58, 29.1, 30, 29.76, 

29.96, 28.88, 28.54, 28.63, 28.15, 28.91, 28.48)), row.names = c(NA, 

50L), class = "data.frame")

I want to set the window function like this:

window(sample,start=c(2014,03,26),end=c(2014,04,02))

What is wrong with my sample dataframe? The dates collumn has the class Date . It is not enough to use the window function?

How can I fix it?

Many thanks.

edited Nov 10 at 23:15

asked Nov 10 at 23:04

Laura

35319

1

I think window is supposed to be used for ts class time series objects, while you have a data.frame. Are you just trying to select rows in a particular period like sample[sample$dates >= "2014-03-26" & sample$dates <= "2014-04-02",] ?
– thelatemail
Nov 10 at 23:06

@thelatemail thanks. Yes. But after select the dates I will roll this window. I will estimate a OLS regression. Is it possible to do the rolling with sample[sample$dates >= "2014-03-26" & sample$dates <= "2014-04-02",] idea?
– Laura
Nov 10 at 23:12

This should be possible but is not something I've personally done - you might want to look into the zoo package which has many roll* functions, in particular rollapply which will allow you to apply an arbitrary function to a moving/rolling window of values. See here for an example - stackoverflow.com/questions/13324362/…
– thelatemail
Nov 10 at 23:16

I edited the sample size. How could I have windows of the size 10 moving each day. This is what I want.
– Laura
Nov 10 at 23:16

add a comment |

up vote
3
down vote

favorite

This is my dataframe:

structure(list(dates = structure(c(16162, 16161, 16160, 16157, 

16156, 16155, 16154, 16153, 16150, 16149, 16148, 16147, 16146, 

16143, 16142, 16141, 16140, 16139, 16136, 16135, 16134, 16129, 

16128, 16127, 16126, 16125, 16122, 16121, 16120, 16119, 16118, 

16115, 16114, 16113, 16112, 16111, 16108, 16107, 16106, 16105, 

16104, 16101, 16100, 16099, 16098, 16097, 16094, 16093, 16092, 

16091), class = "Date"), VALE5 = c(28.29, 28.26, 28.35, 27.81, 

27.85, 27.5, 27.61, 27.16, 27.2, 26.64, 26.57, 26.55, 26, 26.1, 

25.9, 26.46, 26.1, 26.37, 27.09, 28.11, 28.11, 29.09, 29.31, 

29.02, 29, 29.76, 30.61, 30.59, 30.9, 30.6, 30.74, 30.96, 30.76, 

30.79, 30.77, 30.44, 30.66, 30.8, 29.94, 29.58, 29.1, 30, 29.76, 

29.96, 28.88, 28.54, 28.63, 28.15, 28.91, 28.48)), row.names = c(NA, 

50L), class = "data.frame")

I want to set the window function like this:

window(sample,start=c(2014,03,26),end=c(2014,04,02))

What is wrong with my sample dataframe? The dates collumn has the class Date . It is not enough to use the window function?

How can I fix it?

Many thanks.

edited Nov 10 at 23:15

asked Nov 10 at 23:04

Laura

35319

1

I think window is supposed to be used for ts class time series objects, while you have a data.frame. Are you just trying to select rows in a particular period like sample[sample$dates >= "2014-03-26" & sample$dates <= "2014-04-02",] ?
– thelatemail
Nov 10 at 23:06

@thelatemail thanks. Yes. But after select the dates I will roll this window. I will estimate a OLS regression. Is it possible to do the rolling with sample[sample$dates >= "2014-03-26" & sample$dates <= "2014-04-02",] idea?
– Laura
Nov 10 at 23:12

This should be possible but is not something I've personally done - you might want to look into the zoo package which has many roll* functions, in particular rollapply which will allow you to apply an arbitrary function to a moving/rolling window of values. See here for an example - stackoverflow.com/questions/13324362/…
– thelatemail
Nov 10 at 23:16

I edited the sample size. How could I have windows of the size 10 moving each day. This is what I want.
– Laura
Nov 10 at 23:16

add a comment |

up vote
3
down vote

favorite

This is my dataframe:

structure(list(dates = structure(c(16162, 16161, 16160, 16157, 

16156, 16155, 16154, 16153, 16150, 16149, 16148, 16147, 16146, 

16143, 16142, 16141, 16140, 16139, 16136, 16135, 16134, 16129, 

16128, 16127, 16126, 16125, 16122, 16121, 16120, 16119, 16118, 

16115, 16114, 16113, 16112, 16111, 16108, 16107, 16106, 16105, 

16104, 16101, 16100, 16099, 16098, 16097, 16094, 16093, 16092, 

16091), class = "Date"), VALE5 = c(28.29, 28.26, 28.35, 27.81, 

27.85, 27.5, 27.61, 27.16, 27.2, 26.64, 26.57, 26.55, 26, 26.1, 

25.9, 26.46, 26.1, 26.37, 27.09, 28.11, 28.11, 29.09, 29.31, 

29.02, 29, 29.76, 30.61, 30.59, 30.9, 30.6, 30.74, 30.96, 30.76, 

30.79, 30.77, 30.44, 30.66, 30.8, 29.94, 29.58, 29.1, 30, 29.76, 

29.96, 28.88, 28.54, 28.63, 28.15, 28.91, 28.48)), row.names = c(NA, 

50L), class = "data.frame")

I want to set the window function like this:

window(sample,start=c(2014,03,26),end=c(2014,04,02))

What is wrong with my sample dataframe? The dates collumn has the class Date . It is not enough to use the window function?

How can I fix it?

Many thanks.

edited Nov 10 at 23:15

asked Nov 10 at 23:04

Laura

35319

This is my dataframe:

structure(list(dates = structure(c(16162, 16161, 16160, 16157, 

16156, 16155, 16154, 16153, 16150, 16149, 16148, 16147, 16146, 

16143, 16142, 16141, 16140, 16139, 16136, 16135, 16134, 16129, 

16128, 16127, 16126, 16125, 16122, 16121, 16120, 16119, 16118, 

16115, 16114, 16113, 16112, 16111, 16108, 16107, 16106, 16105, 

16104, 16101, 16100, 16099, 16098, 16097, 16094, 16093, 16092, 

16091), class = "Date"), VALE5 = c(28.29, 28.26, 28.35, 27.81, 

27.85, 27.5, 27.61, 27.16, 27.2, 26.64, 26.57, 26.55, 26, 26.1, 

25.9, 26.46, 26.1, 26.37, 27.09, 28.11, 28.11, 29.09, 29.31, 

29.02, 29, 29.76, 30.61, 30.59, 30.9, 30.6, 30.74, 30.96, 30.76, 

30.79, 30.77, 30.44, 30.66, 30.8, 29.94, 29.58, 29.1, 30, 29.76, 

29.96, 28.88, 28.54, 28.63, 28.15, 28.91, 28.48)), row.names = c(NA, 

50L), class = "data.frame")

I want to set the window function like this:

window(sample,start=c(2014,03,26),end=c(2014,04,02))

What is wrong with my sample dataframe? The dates collumn has the class Date . It is not enough to use the window function?

How can I fix it?

Many thanks.

edited Nov 10 at 23:15

asked Nov 10 at 23:04

Laura

35319

edited Nov 10 at 23:15

asked Nov 10 at 23:04

Laura

35319

edited Nov 10 at 23:15

asked Nov 10 at 23:04

Laura

35319

asked Nov 10 at 23:04

Laura

35319

asked Nov 10 at 23:04

Laura

35319

1

I think window is supposed to be used for ts class time series objects, while you have a data.frame. Are you just trying to select rows in a particular period like sample[sample$dates >= "2014-03-26" & sample$dates <= "2014-04-02",] ?
– thelatemail
Nov 10 at 23:06

@thelatemail thanks. Yes. But after select the dates I will roll this window. I will estimate a OLS regression. Is it possible to do the rolling with sample[sample$dates >= "2014-03-26" & sample$dates <= "2014-04-02",] idea?
– Laura
Nov 10 at 23:12

This should be possible but is not something I've personally done - you might want to look into the zoo package which has many roll* functions, in particular rollapply which will allow you to apply an arbitrary function to a moving/rolling window of values. See here for an example - stackoverflow.com/questions/13324362/…
– thelatemail
Nov 10 at 23:16

I edited the sample size. How could I have windows of the size 10 moving each day. This is what I want.
– Laura
Nov 10 at 23:16

add a comment |

1

I think window is supposed to be used for ts class time series objects, while you have a data.frame. Are you just trying to select rows in a particular period like sample[sample$dates >= "2014-03-26" & sample$dates <= "2014-04-02",] ?
– thelatemail
Nov 10 at 23:06

@thelatemail thanks. Yes. But after select the dates I will roll this window. I will estimate a OLS regression. Is it possible to do the rolling with sample[sample$dates >= "2014-03-26" & sample$dates <= "2014-04-02",] idea?
– Laura
Nov 10 at 23:12

This should be possible but is not something I've personally done - you might want to look into the zoo package which has many roll* functions, in particular rollapply which will allow you to apply an arbitrary function to a moving/rolling window of values. See here for an example - stackoverflow.com/questions/13324362/…
– thelatemail
Nov 10 at 23:16

I edited the sample size. How could I have windows of the size 10 moving each day. This is what I want.
– Laura
Nov 10 at 23:16

I think window is supposed to be used for ts class time series objects, while you have a data.frame. Are you just trying to select rows in a particular period like sample[sample$dates >= "2014-03-26" & sample$dates <= "2014-04-02",] ?
– thelatemail
Nov 10 at 23:06

@thelatemail thanks. Yes. But after select the dates I will roll this window. I will estimate a OLS regression. Is it possible to do the rolling with sample[sample$dates >= "2014-03-26" & sample$dates <= "2014-04-02",] idea?
– Laura
Nov 10 at 23:12

This should be possible but is not something I've personally done - you might want to look into the zoo package which has many roll* functions, in particular rollapply which will allow you to apply an arbitrary function to a moving/rolling window of values. See here for an example - stackoverflow.com/questions/13324362/…
– thelatemail
Nov 10 at 23:16

I edited the sample size. How could I have windows of the size 10 moving each day. This is what I want.
– Laura
Nov 10 at 23:16

add a comment |

1 Answer
1

active

oldest

votes

up vote
4
down vote

1) window.zoo window is meant for time series objects like ts and zoo. ts is not appropriate for daily data but you can convert sample to a zoo object and then run it like this:

library(zoo)



z <- read.zoo(sample)

window(z, start = "2014-03-26", end = "2014-04-02")

giving:

           BBAS3 BBDC3 VALE5

2014-03-26 21.11 31.53 27.50

2014-03-27 22.51 33.38 27.85

2014-03-28 22.22 33.20 27.81

2014-03-31 22.80 33.59 28.35

2014-04-01 22.78 33.75 28.26

2014-04-02 22.85 33.82 28.29

2) subset This base approach would also work but does not use window:

subset(sample, dates >= "2014-03-26" & dates <= "2014-04-02")

3) xts With xts this notation can be used. z is from (1) above:

library(xts)



x <- as.xts(z)

x["2014-03-26/2014-04-02"]

edited Nov 11 at 18:01

answered Nov 10 at 23:16

G. Grothendieck

142k9124227

Thanks @G. Grothendieck. It would be possible to move this window by the dates? I will set the last ten dates and running a lm regression. After another window with ten dates and another lm regressio.
– Laura
Nov 10 at 23:19

You can do things like this: rollapplyr(z, 3, function(x) coef(lm(as.data.frame(x))), by.column = FALSE)
– G. Grothendieck
Nov 10 at 23:22

add a comment |

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1 Answer
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active

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1 Answer
1

active

oldest

votes

up vote
4
down vote

1) window.zoo window is meant for time series objects like ts and zoo. ts is not appropriate for daily data but you can convert sample to a zoo object and then run it like this:

library(zoo)



z <- read.zoo(sample)

window(z, start = "2014-03-26", end = "2014-04-02")

giving:

           BBAS3 BBDC3 VALE5

2014-03-26 21.11 31.53 27.50

2014-03-27 22.51 33.38 27.85

2014-03-28 22.22 33.20 27.81

2014-03-31 22.80 33.59 28.35

2014-04-01 22.78 33.75 28.26

2014-04-02 22.85 33.82 28.29

2) subset This base approach would also work but does not use window:

subset(sample, dates >= "2014-03-26" & dates <= "2014-04-02")

3) xts With xts this notation can be used. z is from (1) above:

library(xts)



x <- as.xts(z)

x["2014-03-26/2014-04-02"]

edited Nov 11 at 18:01

answered Nov 10 at 23:16

G. Grothendieck

142k9124227

Thanks @G. Grothendieck. It would be possible to move this window by the dates? I will set the last ten dates and running a lm regression. After another window with ten dates and another lm regressio.
– Laura
Nov 10 at 23:19

You can do things like this: rollapplyr(z, 3, function(x) coef(lm(as.data.frame(x))), by.column = FALSE)
– G. Grothendieck
Nov 10 at 23:22

add a comment |

up vote
4
down vote

1) window.zoo window is meant for time series objects like ts and zoo. ts is not appropriate for daily data but you can convert sample to a zoo object and then run it like this:

library(zoo)



z <- read.zoo(sample)

window(z, start = "2014-03-26", end = "2014-04-02")

giving:

           BBAS3 BBDC3 VALE5

2014-03-26 21.11 31.53 27.50

2014-03-27 22.51 33.38 27.85

2014-03-28 22.22 33.20 27.81

2014-03-31 22.80 33.59 28.35

2014-04-01 22.78 33.75 28.26

2014-04-02 22.85 33.82 28.29

2) subset This base approach would also work but does not use window:

subset(sample, dates >= "2014-03-26" & dates <= "2014-04-02")

3) xts With xts this notation can be used. z is from (1) above:

library(xts)



x <- as.xts(z)

x["2014-03-26/2014-04-02"]

edited Nov 11 at 18:01

answered Nov 10 at 23:16

G. Grothendieck

142k9124227

Thanks @G. Grothendieck. It would be possible to move this window by the dates? I will set the last ten dates and running a lm regression. After another window with ten dates and another lm regressio.
– Laura
Nov 10 at 23:19

You can do things like this: rollapplyr(z, 3, function(x) coef(lm(as.data.frame(x))), by.column = FALSE)
– G. Grothendieck
Nov 10 at 23:22

add a comment |

up vote
4
down vote

1) window.zoo window is meant for time series objects like ts and zoo. ts is not appropriate for daily data but you can convert sample to a zoo object and then run it like this:

library(zoo)



z <- read.zoo(sample)

window(z, start = "2014-03-26", end = "2014-04-02")

giving:

           BBAS3 BBDC3 VALE5

2014-03-26 21.11 31.53 27.50

2014-03-27 22.51 33.38 27.85

2014-03-28 22.22 33.20 27.81

2014-03-31 22.80 33.59 28.35

2014-04-01 22.78 33.75 28.26

2014-04-02 22.85 33.82 28.29

2) subset This base approach would also work but does not use window:

subset(sample, dates >= "2014-03-26" & dates <= "2014-04-02")

3) xts With xts this notation can be used. z is from (1) above:

library(xts)



x <- as.xts(z)

x["2014-03-26/2014-04-02"]

edited Nov 11 at 18:01

answered Nov 10 at 23:16

G. Grothendieck

142k9124227

1) window.zoo window is meant for time series objects like ts and zoo. ts is not appropriate for daily data but you can convert sample to a zoo object and then run it like this:

library(zoo)



z <- read.zoo(sample)

window(z, start = "2014-03-26", end = "2014-04-02")

giving:

           BBAS3 BBDC3 VALE5

2014-03-26 21.11 31.53 27.50

2014-03-27 22.51 33.38 27.85

2014-03-28 22.22 33.20 27.81

2014-03-31 22.80 33.59 28.35

2014-04-01 22.78 33.75 28.26

2014-04-02 22.85 33.82 28.29

2) subset This base approach would also work but does not use window:

subset(sample, dates >= "2014-03-26" & dates <= "2014-04-02")

3) xts With xts this notation can be used. z is from (1) above:

library(xts)



x <- as.xts(z)

x["2014-03-26/2014-04-02"]

edited Nov 11 at 18:01

answered Nov 10 at 23:16

G. Grothendieck

142k9124227

edited Nov 11 at 18:01

answered Nov 10 at 23:16

G. Grothendieck

142k9124227

answered Nov 10 at 23:16

G. Grothendieck

142k9124227

answered Nov 10 at 23:16

G. Grothendieck

142k9124227

Thanks @G. Grothendieck. It would be possible to move this window by the dates? I will set the last ten dates and running a lm regression. After another window with ten dates and another lm regressio.
– Laura
Nov 10 at 23:19

You can do things like this: rollapplyr(z, 3, function(x) coef(lm(as.data.frame(x))), by.column = FALSE)
– G. Grothendieck
Nov 10 at 23:22

add a comment |

Thanks @G. Grothendieck. It would be possible to move this window by the dates? I will set the last ten dates and running a lm regression. After another window with ten dates and another lm regressio.
– Laura
Nov 10 at 23:19

You can do things like this: rollapplyr(z, 3, function(x) coef(lm(as.data.frame(x))), by.column = FALSE)
– G. Grothendieck
Nov 10 at 23:22

Thanks @G. Grothendieck. It would be possible to move this window by the dates? I will set the last ten dates and running a lm regression. After another window with ten dates and another lm regressio.
– Laura
Nov 10 at 23:19

You can do things like this: rollapplyr(z, 3, function(x) coef(lm(as.data.frame(x))), by.column = FALSE)
– G. Grothendieck
Nov 10 at 23:22

add a comment |

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