[R-SIG-Finance] How do I intersecttwo time series?
Brian G. Peterson
brian at braverock.com
Tue Jan 24 01:47:11 CET 2012
I will repeat my earlier advice:
?merge
On Mon, 2012-01-23 at 17:53 -0600, Michael wrote:
> Oh I forgot one thing:
>
> xts_one and xts_two are not neccessarily the same length...
>
> In effect, I was looking for a time series set-operation "intersect"....
>
> Thank you!
>
> On Mon, Jan 23, 2012 at 12:35 PM, Jun Zhu <junzhu98 at yahoo.com> wrote:
>
> > Assume you are testing the first column
> >
> > l_result <- ifelse(l_xts_one[,1] == l_xts_two[,1], l_xts_one[,1],NA)
> >
> >
> >
> >
> > --- On *Mon, 1/23/12, Brian G. Peterson <brian at braverock.com>* wrote:
> >
> >
> > From: Brian G. Peterson <brian at braverock.com>
> > Subject: Re: [R-SIG-Finance] How do I intersecttwo time series?
> > To: "Michael" <comtech.usa at gmail.com>
> > Cc: "r-sig-finance" <r-sig-finance at stat.math.ethz.ch>
> > Date: Monday, January 23, 2012, 8:25 AM
> >
> > On Mon, 2012-01-23 at 08:06 -0600, Michael wrote:
> > > I have two xts objects...and they have coulmns with the same names.ie
> > > their column represent the same variables.
> > >
> > > The only difference is that the values in the rows may be different.
> > > At
> > > precisely the same timestamps the observations can be exactly the
> > > same.
> > >
> > > How do I find the intersection of these two time series ie the rows
> > > where
> > > the observations are identical including the time stamps?
> > >
> > > How do I find intersection where a few specified coulmns are identical
> > > including the time stamps?
> > >
> > > Thanks a lot!
> >
> > ?merge
> >
> > ?ifelse
> >
> > merge is amply covered in the xts documentation, and ifelse is covered
> > in many write-ups on vectorized operations in R.
> >
> > _______________________________________________
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> >
>
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>
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--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
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