[R] Internal NA removal out of Time Series with na.omit.ts()

[Prof Brian Ripley]

On Mon, 8 Mar 2004, Adrian Trapletti wrote:

> > The na.omit.ts() method fails when the time series contains internal
> > NA's. How can these automatically be removed?
> 
> 
> try na.remove from tseries. This is, e.g., useful when removing weekends 
> (NA prices) from financial data, i.e., switching from physical time to 
> business time.

That may well not be appropriate though.  NA denotes a missing and not a 
non-existent value, and for example removing non-trading days in just one 
market it probably not appropriate (as information accrues in other 
markets).

The issue is not `How can the na.action be activated correctly?', but
`What is the appropriate na.action?', and the answer is usually `none of 
them'.

> >>> spectrum(ts.mNDII, na.action=na.omit)
> >
> > Error in na.omit.ts(as.ts(x)) : time series contains internal NAs
> >
> > How can the na.action be activated correctly?

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
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