[R] Easy acf and pacf for irregular time series in R

[Adrian Trapletti]

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>
>R:
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>Is there an easy way to get the acf and pacf for an irregular times 
>series?  That is, the acf and pacf with lag lengths that are in units of 
>time, not observation number.
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There are several solutions available depending on the particular 
problem, some of them statistically "cleaner" than others:
For example eliminate non-business days (NA's) from the series and 
compute the acf and pacf (e.g. with na.remove from tseries).
For example interpolate to get a regular series and compute acf and pacf 
(e.g. with approx.irts from tseries).
For example use a methodology which can treat NA's (e.g. use Kalman 
filtering from ts (R-1.8.1) now ??) and compute the acf and pacf from 
the estimated model...

best
Adrian

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>Thanks,
>
>Jason Higbee
>Research Associate
>Federal Reserve Bank of St. Louis
>The views expressed in this email are the author's and not necessarily 
>those of the Federal Reserve Bank of St. Louis or the Federal Reserve 
>System
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