Here is na.locf both operating on x and on a zoo variable
compared to the others:
> set.seed(1)
> x = 1:1e5
> x[sample(1:1e5, 10000)] = NA
> system.time(z2<-locf.iverson2(x))
user system elapsed
0.05 0.00 0.05
> system.time(z1<-locf.iverson(x))
user system elapsed
0.11 0.00 0.11
> system.time(z3<-locf.sfear(x))
user system elapsed
1.31 0.00 1.33
>
> library(zoo)
> system.time(z4 <- na.locf(x))
user system elapsed
0.03 0.00 0.03
>
> z <- zoo(x)
> system.time(z5 <- na.locf(z))
user system elapsed
0.04 0.00 0.05
>
On Jun 22, 2007 4:29 PM, Horace Tso <[EMAIL PROTECTED]> wrote:
> Thanks to Mark and Erik for different versions of locf, also Erik's pointer
> to archive where I found another function due to Simon Fear. I haven't tested
> the zoo locf function. The following shows their performance. Interestingly,
> Erik's use of a while loop is the fastest.
>
> HT.
>
> x = 1:1e5
> x[sample(1:1e5, 10000)] = NA
>
> >system.time(z2<-locf.iverson2(x))
> user system elapsed
> 0.07 0.00 0.06
> > system.time(z1<-locf.iverson(x))
> user system elapsed
> 0.11 0.00 0.11
> > system.time(z3<-locf.sfear(x))
> user system elapsed
> 1.13 0.00 1.12
>
> ==================================================
> # Due to Erik Iverson
> locf.iverson2 = function(x) {
> while(any(is.na(x))) {
> x[is.na(x)] <- x[which(is.na(x))-1]
> }
> x
> }
>
> # Due to Simon Fear (Fri Nov 14 17:28:57 2003)
> locf.sfear = function(x) {
> assign("stored.value", x[1], envir=.GlobalEnv)
> sapply(x, function(x) {
> if(is.na(x))
> stored.value
> else {
> assign("stored.value", x, envir=.GlobalEnv)
> x
> }})
> }
>
> # Due to Erik Iverson
> locf.iverson = function(x, unkn=-1) {
> x[is.na(x)] = unkn #something that is not a possible price
> run = rle(x)
> run$values[run$values==unkn] = run$values[which(run$values==unkn)-1]
> inverse.rle(run)
> }
>
>
> >>> "Horace Tso" <[EMAIL PROTECTED]> 6/22/2007 12:21 PM >>>
>
> Mark, thanks for the tips. I thought you financial folks must have run into
> things like these before. Just wonder why this problem wasn't asked more
> often on this list.
>
> H.
>
>
> >>> "Leeds, Mark (IED)" <[EMAIL PROTECTED]> 6/22/2007 12:16 PM >>>
> I have a function that does this type of thing but it works off a pure
> vector so it wouldn have to be modified.
> If you make your object a zoo object, the that object has many functions
> associated with it and na.locf would
> Do what you need, I think.
>
>
> -----Original Message-----
> From: [EMAIL PROTECTED]
> [mailto:[EMAIL PROTECTED] On Behalf Of Erik Iverson
> Sent: Friday, June 22, 2007 3:02 PM
> To: Horace Tso
> Cc: [EMAIL PROTECTED]
> Subject: Re: [R] Imputing missing values in time series
>
> I think my example should work for you, but I couldn't think of a way to
> do this without an interative while loop.
>
> test <- c(1,2,3,NA,4,NA,NA,5,NA,6,7,NA)
>
> while(any(is.na(test)))
> test[is.na(test)] <- test[which(is.na(test))-1]
>
> test
> [1] 1 2 3 3 4 4 4 5 5 6 7 7
>
> Horace Tso wrote:
> > Folks,
> >
> > This must be a rather common problem with real life time series data
> > but I don't see anything in the archive about how to deal with it. I
> > have a time series of natural gas prices by flow date. Since gas is
> > not traded on weekends and holidays, I have a lot of missing values,
> >
> > FDate Price
> > 11/1/2006 6.28
> > 11/2/2006 6.58
> > 11/3/2006 6.586
> > 11/4/2006 6.716
> > 11/5/2006 NA
> > 11/6/2006 NA
> > 11/7/2006 6.262
> > 11/8/2006 6.27
> > 11/9/2006 6.696
> > 11/10/2006 6.729
> > 11/11/2006 6.487
> > 11/12/2006 NA
> > 11/13/2006 NA
> > 11/14/2006 6.725
> > 11/15/2006 6.844
> > 11/16/2006 6.907
> >
> > What I would like to do is to fill the NAs with the price from the
> > previous date * gas used during holidays is purchased from the week
> > before. Though real simple, I wonder if there is a function to perform
>
> > this task. Some of the imputation functions I'm aware of (eg. impute,
> > transcan in Hmisc) seem to deal with completely different problems.
> >
> > 2.5.0/Windows XP
> >
> > Thanks in advance.
> >
> > HT
> >
> > ______________________________________________
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> > 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.
>
> ______________________________________________
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> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
> --------------------------------------------------------
>
> This is not an offer (or solicitation of an offer) to buy/se...{{dropped}}
>
> ______________________________________________
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> ______________________________________________
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> and provide commented, minimal, self-contained, reproducible code.
>
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