Lags and Differences of xts Objects
Methods for computing lags and differences on xts objects. This
matches most of the functionality of zoo methods, with some default
argument changes.
## S3 method for class 'xts' lag(x, k = 1, na.pad = TRUE, ...) ## S3 method for class 'xts' diff(x, lag = 1, differences = 1, arithmetic = TRUE, log = FALSE, na.pad = TRUE, ...)
x |
an |
k |
period to lag over |
lag |
period to difference over |
differences |
order of differencing |
arithmetic |
should arithmetic or geometric differencing be used |
log |
should (geometric) log differences be returned |
na.pad |
pad vector back to original size |
... |
additional arguments |
The primary motivation for having methods specific to xts
was to make use of faster C-level code within xts. Additionally,
it was decided that lag's default behavior should
match the common time-series interpretation of that operator — specifically
that a value at time ‘t’ should be the value at time ‘t-1’
for a positive lag. This is different than lag.zoo as well
as lag.ts.
Another notable difference is that na.pad is set to
TRUE by default, to better reflect the transformation visually
and within functions requiring positional matching of data.
Backwards compatability with zoo can be achieved by setting
options(xts.compat.zoo.lag=TRUE). This will change the
defaults of lag.xts to k=-1 and na.pad=FALSE.
An xts object reflected the desired lag and/or differencing.
Jeffrey A. Ryan
x <- xts(1:10, Sys.Date()+1:10) lag(x) # currently using xts-style positive k lag(x, k=2) lag(x, k=-1, na.pad=FALSE) # matches lag.zoo(x, k=1) diff(x) diff(x, lag=1) diff(x, diff=2) diff(diff(x))
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