Missing data?
Also with to.weekly there seems to be a problem with when the week starts. For example:
xts.ts <- xts(1:4, c(as.Date("2011-01-01"), as.Date("2011-01-10"),
as.Date("2011-10-09"), as.Date("2011-10-10")), frequency=52)
to.weekly(xts.ts)
xts.ts.Open xts.ts.High xts.ts.Low xts.ts.Close 2011-01-01 1 1 1 1 2011-01-10 2 2 2 2 2011-10-09 3 3 3 3 2011-10-10 4 4 4 4
xts.ts <- xts(1:4, c(as.Date("2011-01-01"), as.Date("2011-01-02"),
as.Date("2011-10-09"), as.Date("2011-10-10")), frequency=52)
to.weekly(xts.ts)
xts.ts.Open xts.ts.High xts.ts.Low xts.ts.Close 2011-01-02 1 2 1 2 2011-10-09 3 3 3 3 2011-10-10 4 4 4 4 So in the first case the week ends on January 1st. But the second indicates that the end of the week is the 2nd but it includes the data from the first. I would expect that the first column should be consistent. Notice that 10-09 and 10-10 are properly considered different weeks because the 9th is a Sunday and the 10th is a Monday (the beginning of the week). -----Original Message----- From: R. Michael Weylandt <michael.weylandt at gmail.com> [mailto:michael.weylandt at gmail.com] Sent: Tuesday, November 22, 2011 3:10 PM To: Kevin Burton Cc: <r-help at r-project.org> Subject: Re: [R] Missing data? Couldn't you use seq.Date() to set up the time index and then just fill as appropriate? Alternatively, to.weekly if you are starting with a daily series. Michael On Nov 22, 2011, at 4:00 PM, "Kevin Burton" <rkevinburton at charter.net> wrote:
I was wondering what the best approach is for missing data in a time
series.
I give an example using xts but I would like to know what seems to be
the "best" method. Say I have
library(xts)
xts.ts <- xts(1:4,as.Date(c("1970-01-01", "1970-1-3", "1980-10-10",
"2007-8-19")), frequency=52)
I would like to turn this into a time series (still could be xts, or
converted to ts) that has values for every week starting with the week
that includes the start date and ending with the week that includes the
end date.
If there is data for the week then use it otherwise set it to NA or 0. Remember some years have 52, 53, or rarely 54 full or partial weeks. What to do with the partials at the beginning and ending of the year? This seems to be a fairly common problem and doing it myself is very cumbersome. Does a solution to this kind of problem exist? Once the approach to a weekly period is found I am sure that adjustment to daily, monthly, or quarterly would be relatively straightforward. Thank you. Kevin [[alternative HTML version deleted]]
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