Ryan, Just to add:
1) Part IV of "A Discussion of Time Series Objects for R in Finance" covers some performance comparisons amongst the major time series libraries: https://www.rmetrics.org/ebooks-tseries. 2) Not included is Whit Armstrong's fts package, which is based on his C++ time series library, and may be as fast or faster than the other packages: http://cran.r-project.org/web/packages/fts/index.html. It is not as popular as those other packages, but I imagine that Whit could provide some additional detail. That being said, xts is a very good choice thanks to its performance, breadth of functionality, and wide adoption. Thanks, Shane On Wed, Jan 19, 2011 at 8:32 AM, Dirk Eddelbuettel <[email protected]> wrote: > > Hi Ryan, > > On 19 January 2011 at 08:08, Sheftel, Ryan wrote: > | I am looking for a comparison of the performance speed between xts and > | zoo on time series. I remember once seeing this in a pdf document, > | perhaps a magazine article?, but after extensive google-ing I have come > | up blank. > | > | Any direction would be helpful before I reproduce the results myself. > > xts is faster, period, as zoo started as more general (than just financial > time series: "ordered objects") and is still R-code only. And as Gabor just > restated, that is bound to change with some xts code expected to merge over > to zoo at some point---though we have been told that for years. > > Xts on the other hand has compiled C and Fortran code for key operations > making it very fast (and generally faster than zoo), as well as powerful. > One example is the ISO8601 date parsing which can subset based on > human-readable strings such as "2011-01-18 10:00/2011-01-19 10:30" getting > you just that half-hour interval yesterday on intra-day data in an xts > object. So in short, I usually start projects with xts. > > As for blazing fast, Jeff also has the 'indexing' package (as well as > 'mmap') > which go even further, and both together are competitive in access time > with > commercial offerings. Maybe you recall a writeup Jeff did for that? I > can't > recall a xts-vs-zoo horse race but maybe I missed it. > > Hope this helps, Dirk > > -- > Dirk Eddelbuettel | [email protected] | http://dirk.eddelbuettel.com > > _______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
