From pgilbert at bank-banque-canada.ca  Fri Jun  6 11:02:33 2003
From: pgilbert at bank-banque-canada.ca (Paul Gilbert)
Date: Fri Jun  6 16:07:41 2003
Subject: [Rd] irregular time-series
In-Reply-To: <8CBAA121CEB4D5118CB200508BB2BBEF540368@xmx8lonib.lonib.commerzbank.com>
References: <8CBAA121CEB4D5118CB200508BB2BBEF540368@xmx8lonib.lonib.commerzbank.com>
Message-ID: <3EE09EF9.2040107@bank-banque-canada.ca>

Heywood, Giles wrote:

>I make quite a lot of use of irregular time-series, and had already spent a
>bit of time writing an 'its' class when the 'irts' class was released via
>the package 'tseries'.
>
>I have experimented with the 'irts' class, and have some practical issues
>with its use.  In some applications of irregular time-series (in my case
>these are financial and econometric) there are many instances where it is
>useful to consider them as an extension (subclass) of the class 'matrix',
>using S4 class inheritance.  This is also useful in printing. 
>
>The 'its' class I have written is an S4 extension of the matrix class, using
>a single slot for a POSIX  dates vector, which time-indexes the rows.  The
>practical advantage of this, compared to the 'irts' class, is that the
>matrix methods are inherited.
>
>In addition to file operations and some simple functions, I have also
>written a number of method extensions for this 'its' class, including [.its,
>[[.its, intersect, union, diff, lag.
>
>Is there value in such a package, given the resemblance of 'its' to the
>existing 'irts' class?  I would be happy to contribute it, and provide some
>maintenance.
>
Yes, I think so. There seem to be different ways to do these things and 
some work better than others, often for reasons that are not obvious in 
the beginning.

>
>Giles Heywood
>Senior Quantitative Analyst
>Commerzbank Securities
>
>
>********************************************************************** 
>This is a commercial communication from Commerzbank AG.\ \ This ... {{dropped}}
>
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[Rd] irregular time-series
Paul Gilbert