[R-SIG-Finance] Financial time series data mining in R

[Patrick Burns]

I think you are looking for something
like:

lapply(z, rle)

assuming 'z' is a data frame.



Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of "The R Inferno" and "A Guide for the Unwilling S User")

Reena Bansal wrote:
> Hi All,
> 
> This is a financial time series data mining question. Suppose I have a
> time series as below, a typical fetch with NA's and prices.
> 
>> z
>         y
> 1      NA
> 2      NA
> 3  884.96
> 4  894.07
> 5  902.33
> 6  810.36
> 7  810.52
> 8  811.94
> 9  812.12
> 10 826.85
> 11 826.45
> 12 808.03
> 13 800.28
> 14 800.70
> 15 800.68
> 16     NA
> 17     NA
> 18 800.49
> 19 800.65
> 20 801.82
> 
> I want to create summary of the data, which should give me the length of
> each contiguous block of NA and NUMBER(prices here), and start and end
> index, so a sample output might be. 
> 
> Type		Length	StartIndex	EndIndex	
> NA		2	1		2
> NUMBER 	13	3		15	
> NA		2	16		17
> NUMBER 	3	18		20
> 
> I looked into arules package but didn't find anything that did the same.
> Any ideas?
> 
> Thanks everybody,
> Reena
> 
> 
> 
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> 
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