Question

我试图合并两个xts对象。一个使用quantmod生成，另一个使用xts()在data.frame上生成。

> class(rets.weekly)
[1] "xts" "zoo"
> class(result.weekly.xts)
[1] "xts" "zoo"
> tail(rets.weekly)
                    ret
2013-03-22  0.002231087
2013-03-26 -0.007846839
2013-04-06 -0.007501789
2013-04-12  0.001569891
2013-04-20 -0.023628035
2013-04-21  0.005055358
> tail(result.weekly.xts)
           prediction.date  standard.Deviation
2013-03-22 "2013-03-22"     "0.01681222"      
2013-03-26 "2013-03-26"     "0.01578790"      
2013-04-06 "2013-04-06"     "0.01578170"      
2013-04-12 "2013-04-12"     "0.01556793"      
2013-04-20 "2013-04-20"     "0.01504504"      
2013-04-21 "2013-04-21"     "0.01696417"      
> tail(merge.xts(result.weekly.xts , rets.weekly))
           prediction.date standard.Deviation          ret
2013-04-07              NA                 NA -0.007501789
2013-04-12              NA         0.01556793           NA
2013-04-13              NA                 NA  0.001569891
2013-04-20              NA         0.01504504           NA
2013-04-21              NA         0.01696417 -0.023628035
2013-04-22              NA                 NA  0.005055358
Warning message:
In merge.xts(result.weekly.xts, rets.weekly) : NAs introduced by coercion
> tail(merge.zoo(result.weekly.xts , rets.weekly))
<< R QUIT>>

如您所见，日期相同。两个集合都是xts个对象。对merge.xts的调用产生了错误的输出。我不知道这些日期的来源。尝试使用merge.zoo R进行合并时，只需退出（蓝屏风格）。

> sessionInfo()
R version 2.15.3 (2013-03-01)
Platform: i386-w64-mingw32/i386 (32-bit)

locale:
[1] LC_COLLATE=Hebrew_Israel.1255  LC_CTYPE=Hebrew_Israel.1255    LC_MONETARY=Hebrew_Israel.1255 LC_NUMERIC=C                   LC_TIME=Hebrew_Israel.1255    

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
[1] quantmod_0.4-0 TTR_0.22-0     xts_0.9-3      zoo_1.7-9      Defaults_1.1-1

loaded via a namespace (and not attached):
[1] grid_2.15.3     lattice_0.20-13 tools_2.15.3

Answer 1

这是一个长期存在的时区错误。时区未传递到as.Date调用的位置。我差不多一个月前通过电子邮件提交了一个补丁。在xts / R / index.R中，当前行29:31：

if(value[[1]] == "Date")
  #return( as.Date(.index(x)/86400) )
  return( structure(.index(x) %/% 86400, class="Date"))

应改为

if(value[[1]] == "Date")
  as.Date(as.POSIXct.numeric(attr(x, "index"), origin=as.Date('1970-01-01')), 
          tz=indexTZ(x))

此外，应更新xts:::as.POSIXct.numeric以匹配基数R.

merge.xts在合并每周系列时产生错误结果

1 个答案: