tsbox relies on a set of converters to convert time series stored as ts, xts, data.frame, data.table, tibble, zoo, tsibble, tibbletime or timeSeries to each other. This vignette describes some background on two particular challenges, the conversion of equispaced points in time to actual dates or times, and the regularization of irregular time sequences.
The classic way of storing time series in R in "ts"
objects. These are simple vectors with an attribute that describes the
beginning of the series, the (redundant) end, and the frequency. Thus, a
monthly series, e.g., AirPassengers, is defined as a
numeric vector that starts in 1949, with frequency 1. Thus, months are
thought of as equispaced periods with a length of exactly 1/12 of a
year.
For most time series, this is not what is meant. The second period of
AirPassengers, February 1949, is actually shorter than the
first one, but this is not reflected in the "ts" object.
When converting to classes with actual time stamps, tsbox tries to
correct it by using heuristic, rather than
exact time conversion if possible.
Heuristic time conversion
Whenever possible, tsbox relies on heuristic time
conversion. When a monthly "ts" time series, e.g.,
AirPassengers, is converted to a data frame, each time
stamp (of class "Date") indicates the first day of the
month. Heuristic conversion is done for the following frequencies:
ts-frequency |
time difference |
|---|---|
| 365.2425 | 1 day |
| 12 | 1 month |
| 6 | 2 month |
| 4 | 3 month |
| 3 | 4 month |
| 2 | 6 month |
| 1 | 1 year |
| 0.5 | 2 year |
| 0.333 | 3 year |
| 0.25 | 4 year |
| 0.2 | 5 year |
| 0.1 | 10 year |
For example, converting AirPassengers to a data frame
returns:
head(ts_df(AirPassengers))
#> time value
#> 1 1949-01-01 112
#> 2 1949-02-01 118
#> 3 1949-03-01 132
#> 4 1949-04-01 129
#> 5 1949-05-01 121
#> 6 1949-06-01 135Heuristic conversion works both ways, so we can get back to the
original "ts" object:
Exact time conversion
For non standard frequencies, e.g. 260, of
EuStockMarkets, tsbox uses exact time
conversion. The year is divided into 260 equispaced units, each
somewhat longer than a day. The time stamp of a period will be an exact
point in time (of class "POSIXct").
head(ts_df(EuStockMarkets))
#> id time value
#> 1 DAX 1991-07-01 03:18:27 1628.75
#> 2 DAX 1991-07-02 13:01:32 1613.63
#> 3 DAX 1991-07-03 22:44:38 1606.51
#> 4 DAX 1991-07-05 08:27:43 1621.04
#> 5 DAX 1991-07-06 18:10:48 1618.16
#> 6 DAX 1991-07-08 03:53:53 1610.61Higher frequencies, such as days, hours, minutes or seconds, are naturally equispaced, and exact time conversion is used as well.
Exact time conversion is generally reversible:
However, for high frequencies, rounding errors can lead to
unavoidable small differences when going from data frame to
"ts" and back.
Conversion does not work reliably if the frequency higher than one second. For these ultra high frequencies, tsbox is not tested and may not work as expected.
Regularization
In data frames or "xts" objects, missing values are
generally omitted. These omitted missing values are called implicit, as
opposite to explicit NA values. The function
ts_regular allows the user to regularize a series,
by making implicit missing values explicit.
When regularizing, ts_regular analyzes the differences
in the time stamp for known frequencies. If it detects any, it builds a
regular sequence based on the highest known frequency, and tries to
match the time stamps to the regular series. The result is a data frame
or "xts" object with explicit missing values.
Regularization is automatically done when an object is converted to a
"ts" object.
For example, the following time series contains an implicit
NA value in February 1974:
df <- ts_df(fdeaths)[-2,]
head(df)
#> time value
#> 1 1974-01-01 901
#> 3 1974-03-01 827
#> 4 1974-04-01 677
#> 5 1974-05-01 522
#> 6 1974-06-01 406
#> 7 1974-07-01 441ts_regular can be used to turn it into a explicit
NA:
head(ts_regular(df))
#> time value
#> 1 1974-01-01 901
#> 2 1974-02-01 NA
#> 3 1974-03-01 827
#> 4 1974-04-01 677
#> 5 1974-05-01 522
#> 6 1974-06-01 406Regularization can be done for all frequencies that are suited for heuristic conversion, as listed above. In addition to these frequencies, the following higher frequencies are detected and regularized as well:
ts-frequency |
time difference |
|---|---|
| 31556952 | 1 sec |
| 15778476 | 2 sec |
| 6311390 | 5 sec |
| 3155695 | 10 sec |
| 2103797 | 15 sec |
| 1577848 | 20 sec |
| 1051898 | 30 sec |
| 525949.2 | 1 min |
| 262974.6 | 2 min |
| 105189.8 | 5 min |
| 52594.92 | 10 min |
| 35063.28 | 15 min |
| 26297.46 | 20 min |
| 17531.64 | 30 min |
| 8765.82 | 1 hour |
| 4382.91 | 2 hour |
| 2921.94 | 3 hour |
| 2191.455 | 4 hour |
| 1460.97 | 6 hour |
| 730.485 | 12 hour |
| 365.2425 | 1 day |