[R] Irregular time series

[Peter Dalgaard BSA]

Damon Wischik <djw1005 at cam.ac.uk> writes:

> 
> My dataset represents a point arrival process, not a sample of a
> continuous process; I want to turn the continuous-time point arrival
> process into a discrete-time point arrival process. I am looking for a
> function which has the same effect as, but is faster than, this: 
> 
> > its.to.ts <- function(times,values,delta=1) {
> >   m <- min(times)
> >   M <- max(times)
> >   mm <- delta*floor(m/delta)
> >   MM <- delta*ceiling(M/delta)
> >   cuts <- seq(from=mm,to=MM,by=delta)
> >   nullvals <- rep(0,length(cuts)-1)
> >   nulltimes <- cuts[-1]-delta/2
> >   time.factor <- cut(c(times,nulltimes),cuts,labels=FALSE)
> >   dd <- aggregate(c(values,nullvals),by=list(time=time.factor),sum)
> >   ts(data=dd$x,start=mm,deltat=delta)
> >   }

Hmmm. I'm not going to dig into your code just now, but suppose you used
something like 

diff(approx(times,cumsum(values),xout=cuts, method="constant"))

There are probably some end effects that you need to consider more
carefully. 

-- 
   O__  ---- Peter Dalgaard             Blegdamsvej 3  
  c/ /'_ --- Dept. of Biostatistics     2200 Cph. N   
 (*) \(*) -- University of Copenhagen   Denmark      Ph: (+45) 35327918
~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk)             FAX: (+45) 35327907