On Mon, Feb 11, 2002 at 08:53:22AM +0100, Jim Lindsey wrote:
On Mon, Feb 11, 2002 at 03:08:55PM +1300, Ko-Kang Kevin Wang wrote:
Is it possible to create a ts() object, whose data is daily based BUT
measured only on working days?
No, you can't. R only has timeseries with constant frequency or delta-t.
What you mean is "ts only has timeseries with constant frequency or delta-t."
Exactly, thank you for making that clearer. I also omitted to say that one
can work around the problem by using, e.g., a delta of 1 day and flagging
non-business days as NA. Adrian Trapletti has examples for that inside the
tseries package.
There are libraries in R for continuous time series, including my carma
function in my growth library.
Interesting. Can these have "gaps"? In other words, could one "discretize" a
continuous period and fill only certain segments? As an example take a week
composed of 7*24*12 = 2016 five-minute intervals, and then "fill" only those
matching Mon - Fri and 9:30 to 16:00 ?