[R] using zoo() to coerce time series to a different reference frame

[Gabor Grothendieck]

On Tue, Jun 29, 2010 at 5:58 PM, Jonathan Greenberg
<greenberg at ucdavis.edu> wrote:
> Folks:
>
> I have two sets of dates, and one set of data:
>
> ***
>
> require("chron")
> require("zoo")
> reference_dates=seq.dates("01/01/92", "12/31/92", by = "months")
> data_dates=seq.dates("01/15/91", "12/15/93", by = "months")
> data=1:length(data_dates)
>
> reference_zoo=zoo(order.by=reference_dates)
> data_zoo=zoo(data,data_dates)
>
> ***
>
> What I would like is to have a zoo object that uses the index from
> reference_dates, but grabs the data for each of the dates (using a
> spline interpolation) from data_zoo object.  I feel like my solution
> is a bit slow, can someone let me know if there is a quicker way to do
> this?  Thanks:
>
> ***
>
> reference_data_zoo_merge=merge(reference_zoo,data_zoo)
> reference_data_zoo_data=na.spline(reference_data_zoo_merge)
> reference_data_zoo_data=merge(reference_zoo,reference_data_zoo_data,all=FALSE)
>

Try this:

> na.spline(data_zoo, xout = reference_dates)
01/01/92 02/01/92 03/01/92 04/01/92 05/01/92 06/01/92 07/01/92
08/01/92 09/01/92 10/01/92 11/01/92 12/01/92
12.55383 13.53979 14.51858 15.55116 16.53268 17.54855 18.53231
19.55283 20.54369 21.53461 22.54817 23.53190