使用“to.weekly”错误的周末结束日期“xts”中的函数包裹

Question

我有一个非常奇怪的问题...我正在使用 to.weekly 和 to.period 函数将每日 xts 对象转换为每周数据。在大多数情况下，我得到的周末日期为星期五（day.of.week 函数将返回 5）（例如 "2010-01-08"，< code>“2011-02-11”），但在某些情况下我会得到周五以外的时间（周六/周日/周四/等），

我尝试过 to.weekly 和to.period(x, period = 'weeks') 两者都返回相同的问题。

为什么会发生这种情况？有解决方法吗？

谢谢！！

[编辑：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)}

这将返回非星期五的日期：time(to.weekly(test.xts))[dayofweek(time(to.weekly(test. xts))) != 5]

Answer 1

您的示例有两个问题：

1. 您的 dayofweek 函数有点麻烦，而且结果可能不正确。
2. 您的示例日期缺少一些日期，例如 05-23-2010。

这是代码的清理版本：

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"]

该函数的唯一结果是

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

当然，问题是本周于 05-23-2010 结束，但该日期不存在于时间序列。因此，to.weekly 使用下一个最接近的日期作为结束点，即 05-22-2010。这就是你的问题的根源。

这是一个更好的示例，它表明 to.weekly 函数没有问题。

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"]