[R] irregular time series

[Jason Turner]

On Thu, May 20, 2004 at 02:23:46PM +0930, McClatchie, Sam (PIRSA-SARDI) wrote:
[long time series, broken in two with a gap]
> I realise that I could just break each series into two segments and
> cross-correlate with the shorter series, but I'd rather deal with the whole
> series to increase the nyquist frequency. I think the its function in the
> irregular time series package will create a class its object with the right
> time stamps, but can this then be used in the same was as a class ts object
> for the correlation and spectral anayses?  

its does some nice things for storing, plotting, and manipulating
irregular time series, but isn't long on the analysis.

A few options:

1) Analyze the two sub-series separately.
2) There is some merit to de-mean or de-trending both series,
zero-padding the shorter so its length matches the longer, and 
performing spectral analysis that way.  Frequencies near zero
should be treated with suspicion, however.
3) Jim Lindsey has some continuous ARMA and Kalman filter routines
on his site (Google for "Lindsey" and "rmutil", which is the
name of one of those packages).
4) I'm working on an R version of the Lomb periodogram, which
was built for irregular series, but I've no guarantees when I'll
roll it up - rather busy most days.  I do remember seeing an S
version on someone's web page, but that was a while ago, and it
was the "direct" or slow method.

Hope that helps

Jason



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