[R] irregular time series

Spencer Graves 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.
	  spencer graves

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.
> Best,
> Philippe Grosjean
> alessandro carletti wrote:
>>Hi everybody,
>>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
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html

More information about the R-help mailing list