[R] irregular time series
spencer.graves at pdf.com
Sun Mar 19 17:45:31 CET 2006
The "arima" function can handle NAs; see the examples. If that's
still too regular for you, I would use some kind of Kalman filter
designed for a continuous time stochastic process where the state
transition is a function of the elapsed time between the two
observations. I don't know if anything is available in R to handle
that, but I just got 18 hits from RSiteSearch("kalman filter",
"functions") and 253 hits from RSiteSearch("irregular time series"). I
suspect there should be something there that should get you closer.
hope this helps.
Philippe Grosjean wrote:
> One solution is to convert an irregular time series into a regular one,
> interpolating missing values. Obviously, it is only acceptable if the
> number of missing items is low. See ?regul in pastecs, for instance.
> Philippe Grosjean
> alessandro carletti wrote:
>>I'm currently working with time series: do you know if
>>there's something like stl(package stats, seasonal
>>decomposition of time series by loess) working also
>>with objects of class irts?
>>R-help at stat.math.ethz.ch mailing list
>>PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
> R-help at stat.math.ethz.ch mailing list
> PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
More information about the R-help