Lag a Time Series
Create a lagged series from data, with NA used to fill.
Lag(x, k = 1) ## S3 method for class 'quantmod.OHLC' Lag(x, k = 1) ## S3 method for class 'zoo' Lag(x, k = 1) ## S3 method for class 'data.frame' Lag(x, k = 1) ## S3 method for class 'numeric' Lag(x, k = 1)
x |
vector or series to be lagged |
k |
periods to lag. |
Shift series k-periods down, prepending NAs to front
of series.
Specifically designed to handle quantmod.OHLC and
zoo series within the quantmod workflow.
If no S3 method is found, a call to lag in base
is made.
The original x prepended with k NAs
and missing the trailing k values.
The returned series maintains the number of obs. of the original.
This function differs from lag by returning
the original series modified, as opposed to simply changing
the time series properties. It differs from the like
named Lag in the Hmisc as it deals primarily
with time-series like objects.
It is important to realize that if there is no applicable
method for Lag, the value returned will be from
lag in base. That is, coerced to 'ts'
if necessary, and subsequently shifted.
Jeffrey A. Ryan
Stock.Close <- c(102.12,102.62,100.12,103.00,103.87,103.12,105.12) Close.Dates <- as.Date(c(10660,10661,10662,10665,10666,10667,10668),origin="1970-01-01") Stock.Close <- zoo(Stock.Close,Close.Dates) Lag(Stock.Close) #lag by 1 period Lag(Stock.Close,k=1) #same Lag(Stock.Close,k=1:3) #lag 1,2 and 3 periods
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