Below I have written out some simplified data from my dataset. My goal is
to interpolate Price based on timestamp. Therefore the closer a Price is in
time to another price, the more like that price it will be. I want the
interpolations for each St and not across St (St is a factor with levels
A, B, and C). Unfortunately, I get error messages from code I wrote.
In the end only IDs 10 and 14 will receive interpolated values because all
other NAs occur at the beginning of a level. My code is given below the
dataset.
ID is int
St is factor with 3 levels
timestamp is POSIXlt
Price is num
Data.frame name is portfolio
ID St timestamp Price
1 A 2012-01-01 12:50:24.760 NA
2 A 2012-01-01 12:51:25.860 72.09
3 A 2012-01-01 12:52:21.613 72.09
4 A 2012-01-01 12:52:42.010 75.30
5 A 2012-01-01 12:52:42.113 75.30
6 B 2012-01-01 12:56:20.893 NA
7 B 2012-01-01 12:56:46.023 67.70
8 B 2012-01-01 12:57:19.300 76.06
9 B 2012-01-01 12:58:20.750 77.85
10 B 2012-01-01 12:58:20.797 NA
11 B 2012-01-01 12:59:19.527 79.57
12 C 2012-01-01 13:00:21.847 81.53
13 C 2012-01-01 13:00:21.860 81.53
14 C 2012-01-01 13:00:21.873 NA
15 C 2012-01-01 13:00:43.493 84.69
16 D 2012-01-01 12:01:21.520 24.63
17 D 2012-01-01 12:02:18.880 21.13
I tried the following using na.approx from zoo package
interpolatedPrice<-unlist(tapply(portfolio$Price, portfolio$St, na.approx,
portfolio$timestamp, na.rm=FALSE))
but keep getting error
"Error in na.approx.default(X[[1L]], ...) :
x and index must have the same length"
I checked the length of every variable in the formula and they all have the
same length so I am not sure why I get the error message.
Jay
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