[R] How to calculate mean of every nth time series data with zoo or xts ?

[arun]

Hi,
You could use:
set.seed(5)
dat1<-data.frame(Date=seq(from=as.POSIXct("2012-11-01 00:00:00"),to=as.POSIXct("2012-11-03 23:59:00"),  by="1 min"),col2=rnorm(4320,0,1))
library(xts)
dat2<-xts(dat1[,-1],order.by=dat1[,1])
res<-ave(dat2[,1],format(index(dat2),"%H:%M"),FUN=mean)
#or
res<-tapply(dat2[,1],format(index(dat2),"%H:%M"),FUN=mean)
head(res)
#     00:00       00:01       00:02       00:03       00:04       00:05 
#-0.50875473  0.07165023 -0.35019421  0.44377065  0.61380169  0.21490898 
A.K.





----- Original Message -----
From: 박상규 <birdfire94 at naver.com>
To: r-help at r-project.org
Cc: 
Sent: Sunday, December 2, 2012 1:09 PM
Subject: [R] How to calculate mean of every nth time series data with zoo or xts ?

Hello,


I have 1-minute time series stock data and I'd like to calculate mean of every n-th candle data of m-days.


result = c(mean of 1th data, mean of 2nd data, ...)


mean of 1th data = (1th data of 2012-1-1 + 1th data of 2012-1-2 + 1th data of 2012-1-3) / 3

mean of 2nd data = (2nd data of 2012-1-1 + 2nd data of 2012-1-2 + 2nd data of 2012-1-3) / 3
...

Could you let me know the fastest method ?


Thanks in advance,



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