On Thu, 10 May 2007, Patnaik, Tirthankar wrote: > Hi, > A quick beginner's question. I have two time series, A with > daily data, and another B with data at varying frequencies, but mostly > annual. Both the series are sorted ascending. > > I need to merge these two series together in the following way: For any > entry of A, the lookup should match with B until we find an entry of B > that's larger than A's.
I'm not sure what exactly you want. I assume that A and B are not the observations but the corresponding time stamps, right? In any case, I guess that the "zoo" package will have some useful functionality for what you want, e.g., if you have data like library("zoo") set.seed(123) x <- zoo(rnorm(11), as.Date("2000-01-01") + 0:10) y <- zoo(rnorm(4), as.Date("2000-01-01") + c(0, 3, 7, 10)) then you can merge them with z <- merge(x, y) and then eliminate NAs, e.g. by na.locf(z) or you could aggregate() the "x" series so that it becomes a monthly series or something like that. See vignette("zoo", package = "zoo") for more information. Best, Z > For all A[i], i = 1,...,N and B[j], j=1,...M > > Match with B[j] where A[i] <= B[j] > > When A[i] > B[j], match with B[j+1] where A[i] <= B[j+1] > > Basically the less-frequent attributes stay true for a stock while the > daily prices change. > > One example of this is the vlookup function in Excel with the TRUE > option. > > So we have an implementation of this in R? > > TIA and best, > -Tir > > ______________________________________________ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.