Hi everyone,

I am new to R and I have a beginner's question on Time Series: I have an irregular time series that goes like this:

TIMESTAMP               PRICE 
2010-11-29 12:29:28     25.255 
2010-11-29 12:30:47     25.255 
2010-11-29 12:36:58     25.230 
2010-11-29 12:43:14     25.235 
2010-11-29 12:44:18     25.235

The first column is the xts date-time and second the is the actual series. I want to lag the PRICE by 15 minutes or more, i.e.  for each datapoint to take the first observation after 15' have passed. Is there a neat way of doing that?

I can obviously treat it a regular TS with a very small delta (1'' in this case) and back-fill all the missing observations - then I can take 15*60=900 lags… But I think it would be very inefficient, especially in cases where one needs to consider milliseconds.

Thanks, 

Vassili
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