CODEWITHSUNDEEP
rtime-seriesxts
Haroon Lone
Haroon Lone

Reputation: 2949

Extract previous day observation from xts object in R

I have time-series data of three days, formatted as xts object. The dummy data is generated as:

library(xts)
Sys.setenv(TZ="Asia/Kolkata")
seq <- timeBasedSeq('2015-06-01/2015-06-03 23')
z <- xts(1:length(seq),seq)

Now, using the index of any third day observation, I want to extract previous day observation at the same time instant. Accordingly, I coded it as

a <- z[50]  # Any observation of third day will suffice
b <- as.Date(index(a), tz ="Asia/Kolkata")-1  #previous day date
z[.indexDate(z) %in% b & .indexhour(z) %in% .indexhour(a)]

The last command results in 

                    [,1]
2015-06-03 01:00:00   50

But, It should result into

                    [,1]
2015-06-02 01:00:00   26

Can anyone point where I am doing wrong?

Upvotes: 1

Views: 299

Answers (1)

Joshua Ulrich
Joshua Ulrich

Reputation: 176648

The problem is that .indexDate is defined as .index(x) %/% 86400L, and .index returns the number of seconds since the origin in UTC. As you did when you constructed b, you need to account for the timezone when converting to Date:

d <- as.Date(index(z), tz ="Asia/Kolkata")
z[d %in% b & .indexhour(z) %in% .indexhour(a)]
#                     [,1]
# 2015-06-02 01:00:00   26

Upvotes: 1

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