how to calculate the statistics of a yearly window with a rolling step as 1 day?
On Mon, Oct 10, 2011 at 2:55 PM, ecoc <liting231 at gmail.com> wrote:
Hope someone can help me here. I have a daily time series, say 2003-02-01 2003-02-03 2003-02-07 2003-02-09 2003-02-14 .......... 2004-02-01 2004-02-04 ?0.4914798 -1.1857653 -1.6982844 -0.3559572 -0.2333087 ?........... 0.44553 ? ?-0.45222 I need to calculate the statistics for the overlapping rolling yearly window with rolling step as 1 day so for each of the intervals: (2003-02-01 ~ 2004-02-01), (2003-02-03 ~ 2004-02-04), .... i need to calculate some statistics. Could you please help me out how to extract these intervals? Right now I am using index. But since the dates doesn't match exactly, I have to do it like: a(index(a)>=index(b) & index(a)<=index(b)+365), which is very time-consuming since it's a long time series. Could someone help me? Really appreicate!!!
Fill in the missing days with NAs using zoo FAQ 15 or otherwise and then use rollapply(z, 365, f, ...whatever...) such that your function f first removes any NAs.
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