[R] [R-SIG-Finance] Aggregating irregular time series

[R_help Help]

Hi Gabor,

I appreciate your suggestion. I'm wondering if there's any faster
implementation that one could achieve. The dataset I have is about
400K rows and I have many of them. Just wondering if you have any
thoughts. Thanks.

Sakda

On Tue, Sep 8, 2009 at 6:57 AM, R_help Help<rhelpacc at gmail.com> wrote:
> ---------- Forwarded message ----------
> From: Gabor Grothendieck <ggrothendieck at gmail.com>
> Date: Sun, Aug 30, 2009 at 11:08 PM
> Subject: Re: [R-SIG-Finance] Aggregating irregular time series
> To: R_help Help <rhelpacc at gmail.com>
> Cc: r-sig-finance at stat.math.ethz.ch, r-help at r-project.org
>
>
> Try this for the first question:
>
> neighborapply <- function(z, width, FUN) {
>        out <- z
>        ix <- seq_along(z)
>        jx <- findInterval(time(z) + width, time(z))
>        out[] <- mapply(function(i, j) FUN(c(0, z[seq(i+1, length =
> j-i)])), ix, jx)
>        out
> }
>
> # test - corrected :948 in last line
>
> library(zoo)
> library(chron)
>
> Lines <- "Time                              x
> 10:00:00.021                20
> 10:00:00.224                20
> 10:00:01.002                19
> 10:00:02.948                20"
>
> z <- read.zoo(textConnection(Lines), header = TRUE, FUN = times)
>
> neighborapply(z, times("00:00:02"), sum)
>
> # and here is an alternative neighborapply
> # using loops.  The non-loop solution does
> # have the disadvantage that it does as
> # readily extend to other situations which
> # is why we add this second solution to
> # the first question.
>
> neighborapply <- function(z, width, FUN) {
>        out <- z
>        tt <- time(z)
>        for(i in seq_along(tt)) {
>                for(j in seq_along(tt)) {
>                        if (tt[j] - tt[i] > width) break
>                }
>                if (j == length(tt) && tt[j] - tt[i] <= width) j <- j+1
>                out[i] <- FUN(c(0, z[seq(i+1, length = j-i-1)]))
>        }
>        out
> }
>
> The second question can be answered along the lines
> of the first by modifying neighborapply in the loop solution
> appropriately.
>
> On Sun, Aug 30, 2009 at 9:38 PM, R_help Help<rhelpacc at gmail.com> wrote:
>> Hi,
>>
>> I have a couple of aggregation operations that I don't know how to
>> accomplish. Let me give an example. I have the following irregular
>> time series
>>
>> time                              x
>> 10:00:00.021                20
>> 10:00:00.224                20
>> 10:00:01.002                19
>> 10:00:02:948                20
>>
>> 1) For each entry time, I'd like to get sum of x for the next 2
>> seconds (excluding itself). Using the above example, the output should
>> be
>>
>> time                        sumx
>> 10:00:00.021                39
>> 10:00:00.224                19
>> 10:00:01.442                20
>> 10:00:02:948                 0
>>
>> 2) For each i-th of x in the series, what's the first passage time to
>> x[i]-1. I.e. the output should be
>>
>> time                           firstPassgeTime
>> 10:00:00.021                0.981
>> 10:00:00.224                0.778
>> 10:00:01.442                NA
>> 10:00:02:948                NA
>>
>> Is there any shortcut function that allows me to do the above? Thank you.
>>
>> adschai
>>
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>