[R] Quick question on merging two time-series of different frequencies

jim holtman jholtman at gmail.com
Thu May 10 18:10:09 CEST 2007


On 5/10/07, Patnaik, Tirthankar <tirthankar.patnaik at citi.com> wrote:
> Hi,
>        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
> option.
> So we have an implementation of this in R?
> TIA and best,
> -Tir
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Jim Holtman
Cincinnati, OH
+1 513 646 9390

What is the problem you are trying to solve?

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