xts (version 0.12.1)

window.xts: Extract time windows from an xts series

Description

Method for extracting time windows from xts objects.

Usage

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

Value

The matching time window is extracted.

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.

Author

Corwin Joy

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.

See Also

subset.xts, findInterval, xts

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