[R] merging, interpolating two simulataneous time series

jim holtman jholtman at gmail.com
Mon Oct 1 13:53:46 CEST 2007

```Is this what you want?

> var1_times<-c(0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10)
> var1_values<-c(0, 0.5, 1.0, 1.5, 2.0, 2.5, 2.0, 1.5, 1.0, 0.5, 0)
>
> var2_times<-c(0, 2, 5.0, 7, 10.0)
> var2_values<-c(50, 55, 60, 55, 50)
>
> new_v2 <- approxfun(var2_times, var2_values, rule=2)
>
> combined <- data.frame(time=var1_times, v1=var1_values, v2=new_v2(var1_times))
>
> combined
time  v1       v2
1     0 0.0 50.00000
2     1 0.5 52.50000
3     2 1.0 55.00000
4     3 1.5 56.66667
5     4 2.0 58.33333
6     5 2.5 60.00000
7     6 2.0 57.50000
8     7 1.5 55.00000
9     8 1.0 53.33333
10    9 0.5 51.66667
11   10 0.0 50.00000

On 10/1/07, Steve Powers <smpowers at wisc.edu> wrote:
> I have a time series for two variables measured simultaneously, but at
> different intervals. The variables are not independent, so the patterns
> in the times series are very similar (one variable goes up when the
> other goes up, etc).
>
> For example, let's pretend my data look something like this (but with
> more noise)...
>
> var1_times<-c(0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10)
> var1_values<-c(0, 0.5, 1.0, 1.5, 2.0, 2.5, 2.0, 1.5, 1.0, 0.5, 0)
>
> var2_times<-c(0, 2, 5.0, 7, 10.0)
> var2_values<-c(50, 55, 60, 55, 50)
>
>
> Note that var2 is always sampled at a time when a corresponding var1
> measurement was taken, but some var1 measurements were taken alone. I'm
> trying to increase the frequency of the var2 time series in a model by
> taking into account the parallel information in the var1 time series.
> Essentially, this means I want to do a local regression of
> var2_values~var1_values by fitting a different relationship for each
> time interval. I've used approx and approxfun in the past and found them
> helpful, but can't figure out how to employ them in this case. Any
> thoughts on how to do this? In the end, I want interpolated values for
> var2 that line up with the var1 times.---steve
>
>
> I'm using R version 2.4 in Windows XP.
>
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>

--
Jim Holtman
Cincinnati, OH
+1 513 646 9390

What is the problem you are trying to solve?

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