[R] Quick question on merging two time-series of different frequencies
tirthankar.patnaik at citi.com
Thu May 10 16:58:28 CEST 2007
A quick beginner's question. I have two time series, A with
daily data, and another B with data at varying frequencies, but mostly
annual. Both the series are sorted ascending.
I need to merge these two series together in the following way: For any
entry of A, the lookup should match with B until we find an entry of B
that's larger than A's.
For all A[i], i = 1,...,N and B[j], j=1,...M
Match with B[j] where A[i] <= B[j]
When A[i] > B[j], match with B[j+1] where A[i] <= B[j+1]
Basically the less-frequent attributes stay true for a stock while the
daily prices change.
One example of this is the vlookup function in Excel with the TRUE
So we have an implementation of this in R?
TIA and best,
More information about the R-help