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我试图在 R 中合并两个不同的时间序列，具有以下特征：

  1. 数据必须在每天 08:30 到 15:00 之间。
  2. 数据跨越数周，而不仅仅是某一天。
  3. 数据中存在随机间隔的间隙。
  4. 两个数据集不一定会有相同间隔的间隙

我想合并这两个数据集，所有时间都在 08:30 到 15:00 的序列中，并且每个数据集都有一个间隙，我希望之前的值（或之后的值）结转。

# I have verified that the csv files are imported correctly
# The first column contains dates. and the strptime
# function can convert strings into Date/Time objects.
#
sec1_dates <- strptime(sec1[,1], "%m/%d/%Y %H:%M:%S")
sec2_dates <- strptime(sec2[,1], "%m/%d/%Y %H:%M:%S")

# The second column contains the close.
# I use the zoo function to create zoo objects from that data.
# But for some reason this ends up creating duplicates PROBLEM 1
#
a <- zoo(sec1[,2], sec1_dates)
b <- zoo(sec2[,2], sec2_dates)

# I know that I need use seq to fill in gaps but I am clueless as to how
# Once I have the proper seq I can just use na.locf to fill the appropriate values
# HOWEVER seq(start(sec1_dates), end(sec1_dates), "min") would end up returning
# every minute for each day, and I only want 08:30 to 15:30. PROBLEM 2

# The merge function can combine two zoo objects, in union
# Obviously this fails because the two index sizes don't match PROBLEM 3
#
t.zoo <- merge(a, b, all=TRUE)

詹姆斯，关于问题 1，你是对的。谢谢。我验证了 csv 文件两次提取数据并删除数据修复了问题。我也将您的解决方案用于问题 2，但我不确定这是做我想做的事情的最有效方法。最终我可能想用它来运行回归，此时可能需要某种循环来提取任意数量的数据集。我可能会进行的任何优化将不胜感激。

更新的解决方案

library(zoo)
library(tseries)

# Read the CSV files into data frames
sec1 <- read.csv("C:\\exportdata\\sec1.csv", stringsAsFactors=F, header=F)
sec2 <- read.csv("C:\\exportdata\\sec2.csv", stringsAsFactors=F, header=F)

# The first column contains dates.  
# I use strptime to tell it what format these appear in.
sec1_dates <- strptime(sec1[,1], "%m/%d/%Y %H:%M:%S")
sec2_dates <- strptime(sec2[,1], "%m/%d/%Y %H:%M:%S")

# The second column contains the close prices for the securities.
# I use the zoo function to create zoo objects from that data.
# Input =  a vector of data and a vector of dates.
a <- zoo(sec1[,2], sec1_dates)
b <- zoo(sec2[,2], sec2_dates)

# create a discrete time-series with the exact time frame desired
# per tip from James
template <- zoo(NULL, seq(sec1_dates[1], tail(sec1_dates, 1), "min"))
template <- template[which(strftime(time(template),"%H:%M")>"08:30" & strftime(time(template),"%H:%M")<"15:00")]

# The merge function is then used to merge
# 1) each security to the template (uses the discrete date/time range)
# 2) remove the column of data from template (used only for dates)
# 3) each security to one another (this was the ultimate goal anyway.
a.zoo <- merge(a, template, all=TRUE)
a.zoo$template <- NULL
b.zoo <- merge(b, template, all=TRUE)
b.zoo$template <- NULL
t.zoo <- merge(a.zoo, b.zoo, all=TRUE)

# Fill all NA elements with the closest non NA value.
t <- na.locf(t.zoo)
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1 回答 1

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问题 1

?zoo有关于如何处理重复项的详细信息，但这可能是因为您在创建的日期中有重复项strptime。

问题 2

您可以使用 和 对象对时间进行子集[化，请参阅，which例如：timezoo?zoo

t.zoo[which(strftime(time(t.zoo),"%H:%M")>"08:30" & strftime(time(t.zoo),"%H:%M")<"15:30")]

问题 3

用于c组合：t.zoo <- c(a,b)

于 2011-03-18T11:03:11.280 回答