[R-SIG-Finance] PerformanceAnalytics apply.rolling with NAs

[Dean Marks]

---------- Forwarded message ----------
From: Dean Marks <dean at aeonim.co.za>
Date: 2 September 2011 13:23
Subject: Re: [R-SIG-Finance] PerformanceAnalytics apply.rolling with NAs
To: "Brian G. Peterson" <brian at braverock.com>


Brian, thanks for the prompt response.

If you append to my minimal example:

x
class(x)

You get something that looks like, and says it is a time series
object. Am I mistaken here?

In any event, I'm willing to take your advise. However, are you sure
this is not a bug?

Many thanks,

On 2 September 2011 13:15, Brian G. Peterson <brian at braverock.com> wrote:
> On Fri, 2011-09-02 at 13:00 +0200, Dean Marks wrote:
>> I'm having the following issue:
>>
>> require( PerformanceAnalytics )
>> data( managers )
>>
>> #This works fine:
>> x <- managers[ , "SP500 TR"]
>> apply.rolling( x , width = 6 )
>>
>> #This produces an error (presumably due to indexes being empty)
>> x[] <- NA
>> apply.rolling( x , width = 6 )
>> ###  Error in xts(, order.by = time(R)) :
>> ###  order.by requires an appropriate time-based object
>>
>> Is this the expected behavior? How would I avoid the error without
>> having to check for the special case(s)?
>
> Well, the xts error says it all in this case.  You don't have a time
> series to roll *on*.  This is a time series function, so without a time
> series, it simply won't work.
>
> There is the newer function rollapply.xts, but I don't recall offhand
> whether it has been exported yet, or rollapply (in zoo) which is less
> fussy about the 'time series' part, though it does of course assume the
> ordered observations from which zoo takes its name.
>
> I suspect your actual use case is more complicated than the minimal
> example you've supplied.  In this case, whether the function you choose
> to apply is NA-safe is up to that function.  Many functions in R can
> handle NA's, many others fail in ugly ways.  Since we don't know what
> you're trying to apply over a rolling period, you will need to
> understand the NA behavior of the function you wish to call if your data
> contains NA's or other anomalies.
>
> Regards,
>
>  - Brian
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
>



--
Dean Marks
Investment Analyst
Aeon Investment Management
Tel: +27 (0)21 670 5295
Fax: +27 (0)86 508 0685
Mobile: +27 (0)72 417 4720
Email: dean at aeonim.co.za
www.aeonim.co.za
4th Floor, MontClare Place
Cnr Campground & Main Roads
Claremont, 7708
PO Box 24020, Claremont, 7735
An authorised financial services provider FSP No. 27126



-- 
Dean Marks
Investment Analyst
Aeon Investment Management
Tel: +27 (0)21 670 5295
Fax: +27 (0)86 508 0685
Mobile: +27 (0)72 417 4720
Email: dean at aeonim.co.za
www.aeonim.co.za
4th Floor, MontClare Place
Cnr Campground & Main Roads
Claremont, 7708
PO Box 24020, Claremont, 7735
An authorised financial services provider FSP No. 27126