Hi,
I have a very large XTS object. It is about 600,000 entries over 1 year time.
I would like to subset a specific piece, by "number of days" not a specific
date.
The way I do it now is awkward. Would love to find a way to do this easier to
generate a new object just containing the days I want.
---------------------------------------
dayEnds <- endpoints(dataset, on="days")
datasetEnd <- max(dayEnds)
for( d in 1:ndays(dataset)){
day <- dataset[ (dayEnds[d]+1):dayEnds[d+1], ]
daysToEnd <- round(as.numeric( index(dataset[datasetEnd]) -
index(tail(day, n=1)) , unit="days" ))
if(daysToEnd > 30|| daysToEnd < 10){
next;
}
# Will only get here if the days until the end are between 10 and 30
# Do the work here
}
-------------------------------------------
The above works but:
1) It is slow and awkward
2) I never wind up with a single clean dataset of just the days I want.
Any ideas?
Thanks!
--
Noah Silverman
UCLA Department of Statistics
8117 Math Sciences Building
Los Angeles, CA 90095
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