在'xts'包中使用'to.weekly'函數錯誤的週末結束日期

Question

我有一個非常奇怪的問題...我使用to.weekly和to.period函數將每天的xts對象轉換爲每週數據。在大多數情況下，我會將週末結束日期定爲星期五（day.of.week函數將返回5）（例如，"2010-01-08","2011-02-11"），但有幾種情況我除了週五（週六/週日/週四/ ）

我試過to.weekly和to.period(x, period = 'weeks')，兩者都返回相同的問題。

這是怎麼發生的？有沒有解決這個問題？

謝謝！

[編輯：下面的示例]

test.dates <- as.Date(c("2010-04-27","2010-04-28","2010-04-29","2010-04-30","2010-05-03","2010-05-04","2010-05-05","2010-05-06","2010-05-07","2010-05-10","2010-05-11","2010-05-12","2010-05-13","2010-05-14","2010-05-17","2010-05-18","2010-05-19","2010-05-20","2010-05-21","2010-05-22","2010-05-24","2010-05-25","2010-05-26","2010-05-27","2010-05-28","2010-06-01","2010-06-02","2010-06-03","2010-06-04")) 

test.data <- rnorm(length(test.dates),mean=1,sd=2) 

test.xts <- xts(x=test.data,order.by=test.dates) 

#Function that takes in a vector of zoo/xts objects (e.g. "2010-01-08") and returns the day of the week for each 
dayofweek <- function(x) { 
placeholder <- vector("list",length=length(x)) 
names(placeholder) <- x 

for(i in 1:length(x)) {placeholder[[i]] <- month.day.year(x[i])} 
placeholder2 <- rep(NA,times=length(x)) 

for(i in 1:length(x)) {placeholder2[i] <- day.of.week(placeholder[[i]][[1]],placeholder[[i]][[2]],placeholder[[i]][[3]])} 
return(placeholder2)} 

這將返回不在週五的日期（S）：time(to.weekly(test.xts))[dayofweek(time(to.weekly(test.xts))) != 5]

Answer 1

你有2個問題，你的例子：

1. 你的dayofweek函數有點麻煩，並且可能結果不正確。
2. 您的示例日期缺少一些日期，例如2010年5月23日。

這裏是你的代碼的清理後的版本：

library(xts) 
test.dates <- as.Date(c("2010-04-27","2010-04-28","2010-04-29","2010-04-30","2010-05-03","2010-05-04","2010-05-05","2010-05-06","2010-05-07","2010-05-10","2010-05-11","2010-05-12","2010-05-13","2010-05-14","2010-05-17","2010-05-18","2010-05-19","2010-05-20","2010-05-21","2010-05-22","2010-05-24","2010-05-25","2010-05-26","2010-05-27","2010-05-28","2010-06-01","2010-06-02","2010-06-03","2010-06-04")) 
test.data <- rnorm(length(test.dates),mean=1,sd=2) 
test.xts <- xts(x=test.data,order.by=test.dates) 
test.weekly <- to.weekly(test.xts) 

library(lubridate) 
test.weekly[wday(test.weekly, label = TRUE, abbr = TRUE) != "Fri"] 

此函數的唯一結果是

  test.xts.Open test.xts.High test.xts.Low test.xts.Close 
2010-05-22  -1.705749  1.273982 -2.084203  -1.502611 

當然，問題是，本週05-23-2010結束，但該日期不在時間序列中。因此，to.weekly使用下一個最接近的日期作爲終點，即05-22-2010。這是你問題的根源。

這是一個比較好的例子，它沒有顯示to.weekly函數的問題。

library(lubridate); library(xts) 
test.dates <- seq(as.Date("1900-01-01"),as.Date("2011-10-01"),by='days') 
test.dates <- test.dates[wday(test.dates)!=1 & wday(test.dates)!=7] #Remove weekends 
test.data <- rnorm(length(test.dates),mean=1,sd=2) 
test.xts <- xts(x=test.data,order.by=test.dates) 
test.weekly <- to.weekly(test.xts) 
test.weekly[wday(test.weekly, label = TRUE, abbr = TRUE) != "Fri"]