On Mon, Oct 10, 2011 at 2:55 PM, ecoc <liting...@gmail.com> wrote: > Hope someone can help me here. > > I have a daily time series, say > > 2003-02-01 2003-02-03 2003-02-07 2003-02-09 2003-02-14 .......... 2004-02-01 > 2004-02-04 > 0.4914798 -1.1857653 -1.6982844 -0.3559572 -0.2333087 ........... > 0.44553 -0.45222 > > I need to calculate the statistics for the overlapping rolling yearly window > with rolling step as 1 day > > so for each of the intervals: (2003-02-01 ~ 2004-02-01), (2003-02-03 ~ > 2004-02-04), .... > i need to calculate some statistics. > > Could you please help me out how to extract these intervals? Right now I am > using index. But since the dates doesn't match exactly, I have to do it > like: > > a(index(a)>=index(b) & index(a)<=index(b)+365), which is very time-consuming > since it's a long time series. > > Could someone help me? Really appreicate!!! >
Fill in the missing days with NAs using zoo FAQ 15 or otherwise and then use rollapply(z, 365, f, ...whatever...) such that your function f first removes any NAs. -- Statistics & Software Consulting GKX Group, GKX Associates Inc. tel: 1-877-GKX-GROUP email: ggrothendieck at gmail.com ______________________________________________ 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.
