Financial time series data mining in R
I think you are looking for something like: lapply(z, rle) assuming 'z' is a data frame. Patrick Burns patrick at burns-stat.com +44 (0)20 8525 0696 http://www.burns-stat.com (home of "The R Inferno" and "A Guide for the Unwilling S User")
Reena Bansal wrote:
Hi All, This is a financial time series data mining question. Suppose I have a time series as below, a typical fetch with NA's and prices.
z
y 1 NA 2 NA 3 884.96 4 894.07 5 902.33 6 810.36 7 810.52 8 811.94 9 812.12 10 826.85 11 826.45 12 808.03 13 800.28 14 800.70 15 800.68 16 NA 17 NA 18 800.49 19 800.65 20 801.82 I want to create summary of the data, which should give me the length of each contiguous block of NA and NUMBER(prices here), and start and end index, so a sample output might be. Type Length StartIndex EndIndex NA 2 1 2 NUMBER 13 3 15 NA 2 16 17 NUMBER 3 18 20 I looked into arules package but didn't find anything that did the same. Any ideas? Thanks everybody, Reena [[alternative HTML version deleted]]
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