[R] Best datatype for time-series with irregular ocurrencies

[Gabor Grothendieck]

 <jmoreira <at> fe.up.pt> writes:

: Does someone has experience working with time-series where the ocurrencies 
do 
: not happen at regular time spaces? In one day I can have 20 ocurrencies and 
in 
: the following day I can have the double. ts datatype must have regular time 
: spaces. What is the best way to put the data if I want to use forecasting 
: methods as Holt-Winters, NN or SVM? To put data and time in different 
: variables? If in one variable it would be of Date datatype?

There are several packages that can accommodate irregularly spaced time series.
Regarding your specific requirements, zoo is the only one that supports 
the Date class as the time variable.  Also, the upcoming version of zoo 
(not yet on CRAN) has support for e1071::svm and nnet::nnet .

There is a summary of the various irregular time series classes/packages
here:

https://stat.ethz.ch/pipermail/r-sig-finance/2004q4/000210.html