[R-SIG-Finance] [R-sig-finance] Problem using stl() on data from quantmod

[Gabor Grothendieck]

stl requires that a fixed frequency be specified.

On Mon, Dec 29, 2008 at 10:30 AM, Wind2 <windspeedo at qq.com> wrote:
>
> ts(IBM, freq = 250)[, 4]
> makes stl() OK.
>
> I wonder the purpose of freq=250.   If IBM indeed contains different number
> of data each year, say, 255 data one year and 252 data for another, is it
> still propriate to use freq=250?
>
> I tried to set freq=1 while using start to specify the start date.   But
> don't know how to set start to a specific date.
>
> Thanks Gabor.
>
> Regards,
> Wind
>
>
> Gabor Grothendieck wrote:
>>
>> Try this:
>>
>> library(quantmod)
>> getSymbols("IBM")
>> xx <- ts(IBM, freq = 250)[, 4]
>> xx <- na.approx(xx)
>> plot(stl(log(xx), s.window = "period"))
>>
>>
>> On Mon, Dec 29, 2008 at 8:45 AM, Wind <windspeedo at qq.com> wrote:
>>> With the following code,
>>>
>>> getSymbols("^GSPC")
>>> xx<-as.ts(GSPC[,4])
>>> xx<-na.approx(xx)
>>> plot(stl(log(xx),s.window="period"))
>>>
>>> There is an error:
>>> Error in stl(log(xx), s.window = "period") :
>>>  only univariate series are allowed
>>>
>>>> str(log(xx))
>>>  ts [1:724, 1] 7.26 7.26 7.25 7.25 7.25 ...
>>>  - attr(*, "dimnames")=List of 2
>>>  ..$ : NULL
>>>  ..$ : chr "GSPC.Close"
>>>  - attr(*, "tsp")= num [1:3] 13516 14239     1
>>>
>>> It seems that the structure of xx is a little complicated.   But I still
>>> don't know how to trim it to the simplest ts format.
>>>
>>> Regards,
>>> Wind
>>>
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>>
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