[R-SIG-Finance] disaggregate from monthly to daily time series

Brian G. Peterson brian at braverock.com
Mon Jul 27 20:22:53 CEST 2009

Well, leaving aside the fact that this seems like a pretty low-utility 
idea (ymmv), na.approx or na.spline will do this if you cbind a monthly 
series to a daily series, and then apply na.approx to the NA's in the 
(formerly) monthly data.

   - Brian

John P. Burkett wrote:
> I would like to disaggregate a monthly average (Consumer Price Index) 
> to create a daily time series.  The new daily series should be smooth 
> (i.e.--exhibit no unusual jump from the last day of a month to the 
> first day of the next month) and be consistent with the original 
> monthly data (i.e.--the average value of the new series for the days 
> of a month should equal the given value for that month).
> If all months had 30 days and I were using S+Finmetrics, I would try 
> to create the daily series with a command such as
> disaggregate(CPI, 30, method="spline", how="mean")
> where CPI is the monthly data on the Consumer Price Index.
> The fact that months are of different lengths complicates matters.
> Suggestions for how to accomplish the disaggregation in R would be 
> greatly appreciated.
> -John

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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