R help - Dec 2004 - Best datatype for time-series with irregular ocurrencies

Hello,

Does someone has experience working with time-series where the ocurrencies do 
not happen at regular time spaces? In one day I can have 20 ocurrencies and in 
the following day I can have the double. ts datatype must have regular time 
spaces. What is the best way to put the data if I want to use forecasting 
methods as Holt-Winters, NN or SVM? To put data and time in different 
variables? If in one variable it would be of Date datatype?

Thank you for any help.

Joao


-------------------------------------------------
Joao Mendes Moreira
Faculdade de Engenharia da Universidade do Porto
DEMEGI / GEIN

<jmoreira <at> fe.up.pt> writes:

: Does someone has experience working with time-series where the ocurrencies 
do 
: not happen at regular time spaces? In one day I can have 20 ocurrencies and 
in 
: the following day I can have the double. ts datatype must have regular time 
: spaces. What is the best way to put the data if I want to use forecasting 
: methods as Holt-Winters, NN or SVM? To put data and time in different 
: variables? If in one variable it would be of Date datatype?

There are several packages that can accommodate irregularly spaced time series.
Regarding your specific requirements, zoo is the only one that supports 
the Date class as the time variable.  Also, the upcoming version of zoo 
(not yet on CRAN) has support for e1071::svm and nnet::nnet .

There is a summary of the various irregular time series classes/packages
here:

https://stat.ethz.ch/pipermail/r-sig-finance/2004q4/000210.html

jmoreira at fe.up.pt wrote:
>Hello,
>
>Does someone has experience working with time-series where the ocurrencies
do
>not happen at regular time spaces? 
>
package fBasics from Rmetrics (www.rmetrics.org)  has S4 timeDate and 
timeSeries objects similar
to those in SPlus for irregular time series manipulations and 
investigations.

package its is another option

Regards Diethelm Wuertz
>In one day I can have 20 ocurrencies and in 
>the following day I can have the double. ts datatype must have regular time 
>spaces. What is the best way to put the data if I want to use forecasting 
>methods as Holt-Winters, NN or SVM? To put data and time in different 
>variables? If in one variable it would be of Date datatype?
>
>Thank you for any help.
>
>Joao
>
>
>-------------------------------------------------
>Joao Mendes Moreira
>Faculdade de Engenharia da Universidade do Porto
>DEMEGI / GEIN
>
>______________________________________________
>R-help at stat.math.ethz.ch mailing list
>https://stat.ethz.ch/mailman/listinfo/r-help
>PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html
>
>  
>

On Wed, 15 Dec 2004, Diethelm Wuertz wrote:
> jmoreira at fe.up.pt wrote:
>
> >Hello,
> >
> >Does someone has experience working with time-series where the
ocurrencies do
> >not happen at regular time spaces?
> >
>
> package fBasics from Rmetrics (www.rmetrics.org)  has S4 timeDate and
> timeSeries objects similar
> to those in SPlus for irregular time series manipulations and
> investigations.
>
> package its is another option
Just to be complete: in addition to
  "its" in package its
  "timeSeries" in fBasics
which are S4 classes, there are
  "irts" in package tseries
  "zoo" in package zoo
which are S3 classes for irregularly spaced observations. "its" is
probably the most mature, "timeSeries" is - as Diethelm said - similar
to
the S-PLUS implementation and "zoo" has the advantage that time
information can be of (almost) arbitrary class.
The development version of zoo is due for release next week or so,
contact me off-list if you want the current version.

Best,
Z
> Regards Diethelm Wuertz
>
> >In one day I can have 20 ocurrencies and in
> >the following day I can have the double. ts datatype must have regular
time
> >spaces. What is the best way to put the data if I want to use
forecasting
> >methods as Holt-Winters, NN or SVM? To put data and time in different
> >variables? If in one variable it would be of Date datatype?
> >
> >Thank you for any help.
> >
> >Joao
> >
> >
> >-------------------------------------------------
> >Joao Mendes Moreira
> >Faculdade de Engenharia da Universidade do Porto
> >DEMEGI / GEIN
> >
> >______________________________________________
> >R-help at stat.math.ethz.ch mailing list
> >https://stat.ethz.ch/mailman/listinfo/r-help
> >PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html
> >
> >
> >
>
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html
>