Maybe arima with the xreg= argument. On 10/11/07, Creighton, Sean <[EMAIL PROTECTED]> wrote: > Hi > > I have a collection of about 16 time series with occasional missing > data. A few of these time-series start later than the rest. There is a > relatively high correlation between them (they are hourly temps at > various locations around the UK). The longest series contains about > 40000 points > > I have constructed each time series into a zoo object and then merged > each of these objects in to one (zoo is great!). Using na.approx I can > interpolate through a single column for the occasional missing data. Now > I would like to cross interpolate those series which start later than > the rest. > > I thought of reducing the collated zoo object down to a time span where > all columns where defined, then calculating a correlation matrix. Then > taking this matrix back to the larger collated zoo object and then > interpolating the missing values based on the correlations I have found. > I'm assuming correlation is stationary year to year. > > Has anybody tried anything like this? Is a function out there that could > help? > > Thanks > Sean > > > > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >
______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
