2

我想将三个 xts 对象合并在一起cbind：

> OIH.tmp <-
structure(c(NA, 7.7, 5.1, -6.9, -2.6), index = structure(c(1325221200, 
1327986000, 1330491600, 1333080000, 1334894400), tzone = "", tclass = "yearmon"),
tclass = "Date", tzone = "", src = "yahoo", updated = structure(1335041586.83363,
class = c("POSIXct", "POSIXt")), .indexTZ = "", .indexCLASS = "yearmon",
.Dim = c(5L, 1L), .Dimnames = list(NULL, "OIH"), class = c("xts", "zoo"))

> SMH.tmp <-
structure(c(NA, 9.3, 2.9, 3.7, -5), index = structure(c(1325134800, 
1327986000, 1330491600, 1333080000, 1334894400), tzone = "", tclass = "yearmon"),
tclass = "Date", tzone = "", src = "yahoo", updated = structure(1335041596.41175,
class = c("POSIXct", "POSIXt")), .indexTZ = "", .indexCLASS = "yearmon",
.Dim = c(5L, 1L), .Dimnames = list(NULL, "SMH"), class = c("xts", "zoo"))

> SU.tmp <-
structure(c(NA, -9.4, -6.9, -2.3, -18.1, -22.6, 22.7, -6.1, -4, 
18, 4.1, -9.4, -4.7), index = structure(c(1304049600, 1306814400, 
1309406400, 1311912000, 1314763200, 1317355200, 1320033600, 1322629200, 
1325221200, 1327986000, 1330491600, 1333080000, 1334894400), tzone = "",
tclass = "yearmon"), tclass = "Date", tzone = "", src = "yahoo", 
updated = structure(1335041613.0055, class = c("POSIXct", "POSIXt")),
.indexTZ = "", .indexCLASS = "yearmon", .Dim = c(13L, 1L),
.Dimnames = list(NULL, "SU"), class = c("xts", "zoo"))

> cbind(OIH.tmp, SU.tmp, SMH.tmp)
          OIH    SU  SMH
Apr 2011   NA    NA   NA
May 2011   NA  -9.4   NA
Jun 2011   NA  -6.9   NA
Jul 2011   NA  -2.3   NA
Aug 2011   NA -18.1   NA
Sep 2011   NA -22.6   NA
Oct 2011   NA  22.7   NA
Nov 2011   NA  -6.1   NA
Dec 2011   NA    NA   NA
Dec 2011   NA  -4.0   NA
Jan 2012  7.7  18.0  9.3
Feb 2012  5.1   4.1  2.9
Mar 2012 -6.9  -9.4  3.7
Apr 2012 -2.6  -4.7 -5.0

请注意，2011 年 12 月有一个额外的/重复的行，这是我不想要的。我可以想出一些杂乱无章的方法来实现我的最终目标（这里），但我确信一定有更简单/优雅的东西——也许通过一个对象的索引合并。这看起来很简单，但我已经阅读了 cbind 和 merge 的文档，但没有找到简单的解决方案。

我实际上有一系列我想要组合/合并的对象。我只是用你在这里看到的 3 来说明问题。我实际上使用以下命令来构造返回系列：

oneMonthReturn <- do.call(merge, lapply(tickers.tmp, function(x) 
  round(ROC(Cl(to.monthly(get(x, myEnv))),1) * 100, 1) ))

> dput(tickers.tmp)
c("DJI", "GSPC", "IXIC", "GSPTSE", "XLE", "OIH", "XOP", "XLI", 
"XLB", "XLF", "XRT", "XLK", "SMH", "XLY", "XLP", "XLU", "XLV", 
"PPH", "MOO", "GLD", "SLV", "GDX", "TLT", "X", "SU", "TCK", "ACHN", 
"IDIX", "AGU")


> dput(oneMonthReturn)
structure(c(NA, -1.9, -1.2, -2.2, -4.5, -6.2, 9.1, 0.8, NA, 1.4, 
3.3, 2.5, 2, -1.4, NA, -1.4, -1.8, -2.2, -5.8, -7.4, 10.2, -0.5, 
NA, 0.8, 4.3, 4, 3.1, -2.1, NA, -1.3, -2.2, -0.6, -6.6, -6.6, 
10.6, -2.4, NA, -0.6, 7.7, 5.3, 4.1, -3, NA, -1, -3.7, -2.7, 
-1.4, -9.4, 5.3, -0.4, NA, -2.1, 4.1, 1.5, -2, -2, NA, -4.3, 
-2.3, 1.4, -10.8, -16, 17.5, 1.7, NA, -2.5, 2.2, 5.8, -4.3, -4, 
NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, 7.7, 5.1, -6.9, -2.6, 
NA, -4.5, -3.5, 5.7, -14.8, -22.5, 22.8, 2.4, NA, -4.6, 3.5, 
8.3, -4.1, -7.7, NA, -2.8, -1, -7.1, -6.8, -10.3, 13.4, 1.4, 
NA, -0.4, 7.1, 2.8, 0.5, -1.8, NA, -2.8, -1, -3.5, -7.3, -18.5, 
16, 0.2, NA, -3, 10.4, -0.6, 0, -1.3, NA, -3.4, -3.1, -3.6, -10.1, 
-12.5, 13.4, -5.2, NA, 1.5, 7.8, 4.9, 6.8, -3.9, NA, 1.5, -1.4, 
-0.2, -7.1, -7.1, 12.9, -1.3, NA, 1.3, 4.8, 6.5, 3.9, -0.5, NA, 
-1.1, -2.9, 0.4, -5.5, -3.5, 9.7, -1.5, NA, -0.7, 6, 6.9, 4.1, 
-3, NA, NA, NA, NA, NA, NA, NA, NA, NA, NA, 9.3, 2.9, 3.7, -5, 
NA, -0.3, -0.6, -1.4, -5.4, -7.5, 11.3, -0.7, NA, 0.7, 5.7, 4.4, 
4.3, -1, NA, 2.5, -3.4, -1.3, 0.2, -4.1, 4.5, 2.7, NA, 1.8, -1.4, 
3.7, 2.5, 0.7, NA, 2.1, -1.2, -0.9, 2.1, -0.8, 3.6, 1, NA, 2.2, 
-3.7, 0.6, 0.4, -0.1, NA, 2.4, -1.6, -4, -2.1, -5.1, 5.6, 0.9, 
NA, 2.4, 3.1, 1.1, 3.9, -0.9, NA, NA, NA, NA, NA, NA, NA, NA, 
NA, NA, 0, 2.5, 3, 0.2, NA, -2.4, -3.1, 0.6, -3.6, -18.9, 14.6, 
-1.6, NA, -4.4, 8.5, 2.5, 0.4, -1.5, NA, -1.8, -2.5, 8.1, 11.6, 
-11.7, 5.7, 1.7, NA, -11.3, 10.8, -3, -1.3, -1.6, NA, -22.1, 
-10.5, 13.8, 4, -33.6, 14.6, -4.4, NA, -17.2, 18.1, 3.9, -6.7, 
-2, NA, -6.7, -6.3, 4.1, 9.9, -12.9, 6.4, 2.7, NA, -16.1, 9.3, 
-1.9, -11.2, -7.2, NA, 2.9, -2.7, 4, 8.9, 12.1, -4.2, 1.7, NA, 
2.8, -0.3, -2.9, -4.6, 4.2, NA, -3.4, -0.2, -14.1, -28.4, -31.3, 
14.2, 7.4, NA, -3.1, 13.2, -10.4, 7.6, -1.3, NA, -9.4, -6.9, 
-2.3, -18.1, -22.6, 22.7, -6.1, NA, -4, 18, 4.1, -9.4, -4.7, 
NA, -3.1, -3.5, -2.6, -10.9, -41.8, 31.8, -9.4, NA, -3.6, 18.4, 
-5.7, -11.4, 3.5, NA, 29.4, -0.7, -0.4, -18.8, -26.3, 29.2, 5.1, 
NA, 13.6, 37.5, -5.5, -9.2, -14.6, NA, -6.7, 5.1, 29, -14, -15.2, 
18.4, 23.6, NA, -2, 58.6, -12.8, -18.5, -16.9, NA, -2.7, -0.3, 
-0.4, -1.6, -25.4, 21.1, -16.2, NA, -4.2, 17.9, 5.9, 1.4, 0.2
), .Dim = c(14L, 29L), .Dimnames = list(NULL, c("DJI", "GSPC", 
"IXIC", "GSPTSE", "XLE", "OIH", "XOP", "XLI", "XLB", "XLF", "XRT", 
"XLK", "SMH", "XLY", "XLP", "XLU", "XLV", "PPH", "MOO", "GLD", 
"SLV", "GDX", "TLT", "X", "SU", "TCK", "ACHN", "IDIX", "AGU")), index = structure(c(1304049600, 
1306814400, 1309406400, 1311912000, 1314763200, 1317355200, 1320033600, 
1322629200, 1325134800, 1325221200, 1327986000, 1330491600, 1333080000, 
1334894400), tzone = "", tclass = "yearmon"), .indexTZ = "", .indexCLASS = "yearmon", tclass = c("POSIXct", 
"POSIXt"), tzone = "", src = "yahoo", updated = structure(1335041583.80238, class = c("POSIXct", 
"POSIXt")), class = c("xts", "zoo"))

感谢帮助。

4

3 回答 3

3

这应该这样做（在更简单的一天，因为你没有发布dput()你的数据）：

 newvar <- merge(merge(OIH.tmp, SU.tmp), SMH.tmp)

merge.xts()只需要两个参数，所以你必须重复调用它。默认聚合在这里“做正确的事”：

R> OIH <- xts(c(NA, 1:4), 
+             order.by=seq(as.Date("2011-12-01"), by="1 month", length=5))
R> SMH <- xts(c(NA, 1:4), 
+             order.by=seq(as.Date("2011-12-01"), by="1 month", length=5))
R> SU <- xts(c(NA, 1:12), 
+            order.by=seq(as.Date("2011-04-01"), by="1 month", length=13))
R> merge(OIH, merge(SU, SMH))
           OIH SU SMH
2011-04-01  NA NA  NA
2011-05-01  NA  1  NA
2011-06-01  NA  2  NA
2011-07-01  NA  3  NA
2011-08-01  NA  4  NA
2011-09-01  NA  5  NA
2011-10-01  NA  6  NA
2011-11-01  NA  7  NA
2011-12-01  NA  8  NA
2012-01-01   1  9   1
2012-02-01   2 10   2
2012-03-01   3 11   3
2012-04-01   4 12   4
R>
于 2012-04-22T01:00:04.470 回答
2

您致电的问题to.monthly，而不是merge.xts（正如我最初认为的那样）。此解决方案不适用于 CRAN 上当前的 xts 版本，但适用于 R-forge 的 613 或更高版本。

问题的出现是因为to.monthly该系列在实际指数中的最后一次对齐，而不是该期间的理论最后一次；并且默认情况下不会删除索引的时间分量。在您的情况下，2011-12 的最后一次是 2011-12-29SMH和 2011-12-30 其他两个对象。

如果您设置drop.time=TRUE（同样，这仅适用于 xts 的 R-forge 版本），结果如您所料：

oneMonthReturn <- do.call(merge, lapply(tickers.tmp, function(x) 
  round(ROC(Cl(to.monthly(get(x, myEnv),drop.time=TRUE)),1) * 100, 1) ))
于 2012-04-22T13:04:01.820 回答
0

对于具有多列的多重合并（使用 Dirk 的数据），您可以使用该Reduce函数。我将用法封装在一个函数中，您可以对其进行调整以满足您的需求。正确回答这个问题的功劳应该归功于 Dirk，因为他已经正确回答了，这只是一种替代方法，因为我在星期六晚上很无聊 :) 射击，我什至不知道 xts 是干什么用的。

multi.xts.merge <- function(listOguys) {
    dat <- Reduce(function(x, y) {merge.xts(x, y)}, listOguys)
    names(dat) <- as.character(substitute(listOguys))[-1]
    return(dat)
}

multi.xts.merge(list(OIH, SU, SMH))

请注意，您必须为此函数提供一个列表

于 2012-04-22T02:20:08.067 回答