assume x,y are two xts variables with different lengths, do this to get intersect(use y time window to cut x, and use x window to cut y)


y <- y[paste(index(x)[1],"/",index(x)[length(index(x))], sep="")]x<- x[paste(index(y)[1],"/",index(y)[length(index(y))], sep="")]l_result <- ifelse(x[,1] > y[,1], x[,1], NA)l_result <- na.omit(l_result)


--- On Mon, 1/23/12, Michael <comtech.usa@gmail.com> wrote:

From: Michael <comtech.usa@gmail.com>
Subject: Re: [R-SIG-Finance] How do I intersecttwo time series?
To: "Jun Zhu" <junzhu98@yahoo.com>
Cc: "Brian G. Peterson" <brian@braverock.com>, "r-sig-finance" <r-sig-finance@stat.math.ethz.ch>
Date: Monday, January 23, 2012, 5:53 PM

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@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@braverock.com> wrote:


From: Brian G. Peterson <brian@braverock.com>
Subject: Re: [R-SIG-Finance] How do I intersecttwo time series?

To: "Michael" <comtech.usa@gmail.com>
Cc: "r-sig-finance" <r-sig-finance@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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