R: Extract time windows from an 'xts' series

window.xts {xts}

R Documentation

Extract time windows from an `xts` series

Description

Method for extracting time windows from xts objects.

Usage

## S3 method for class 'xts'
window(x, index. = NULL, start = NULL, end = NULL, ...)

Arguments

`x`	an object.
`index.`	a user defined time index. This defaults to the `xts` index for the series via `.index(x)`. When supplied, this is typically a subset of the dates in the full series. The `index.` must be a set of dates that are convertible to `POSIXct`. If you want fast lookups, then `index.` should be sorted and of class `POSIXct`. If an unsorted `index.` is passed in, `window` will sort it.
`start`	a start time. Extract `xts` rows where `index. >= start`. `start` may be any class that is convertible to `POSIXct` such as a character variable in the format ‘YYYY-MM-DD’. If `start` is `NULL` then all `index.` dates are matched.
`end`	an end time. Extract `xts` rows where `index. <= end`. `end` must be convertible to `POSIXct`. If `end` is `NULL` then all `index.` dates are matched.
`...`	currently not used.

Details

The point of having window in addition to the regular subset function is to have a fast way of extracting time ranges from an xts series. In particular, this method will convert start and end to POSIXct then do a binary lookup on the internal xts index to quickly return a range of matching dates. With a user supplied index., a similarly fast invocation of findInterval is used so that large sets of sorted dates can be retrieved quickly.

Value

The matching time window is extracted.

Author(s)

Corwin Joy

Examples

## xts example
x.date <- as.Date(paste(2003, rep(1:4, 4:1), seq(1,19,2), sep = "-"))
x <- xts(matrix(rnorm(20), ncol = 2), x.date)
x

window(x, start = "2003-02-01", end = "2003-03-01")
window(x, start = as.Date("2003-02-01"), end = as.Date("2003-03-01"))
window(x, index = x.date[1:6], start = as.Date("2003-02-01"))
window(x, index = x.date[c(4, 8, 10)])

## Assign to subset
window(x, index = x.date[c(4, 8, 10)]) <- matrix(1:6, ncol = 2)
x

[Package xts version 0.12.1 Index]

Extract time windows from an xts series