[R] Fast and simple tool for re-sampling of asynchronous time series ?

From: bruno Piguet <bruno.piguet_at_gmail.com>
Date: Fri, 25 Jun 2010 17:34:35 +0200


Hi all,

   I'm looking for a function which could do some fast and simple re-sampling of asynchronous time series.

   Below is a MCE of the kind of algorithm I need. As you can see, it's quite crude, but it's enough for my current needs. The only problem is that it is quite slow on real use case.

   I've got a C version which is much faster, but I'd like to have a pure-R program.

   Any pointer to the relevant part of the doc one one of the time-series packages ? Any suggestion or advice ?

   Thanks in advance,

B. Piguet.

Here is the exemple :
Tx <- seq(1, 50, 0.5)
Tx <- Tx + rnorm(length(Tx), 0, 0.1)
X <- sin(Tx/10.0) + sin(Tx/5.0) + rnorm(length(Tx), 0, 0.1) Ty <- seq(1, 50, 0.3333)
Ty <- Ty + rnorm(length(Ty), 0, 0.02)
Y <- sin(Ty/10.0) + sin(Ty/5.0) + rnorm(length(Ty), 0, 0.1)

w <- 0.25

Y_sync <- rep(NA, length(Tx))
for (i in 1:length(Tx))
{

   T_min <- Tx[i] - w
   T_max <- Tx[i] + w
   Y_sync[i] <- mean(Y[Ty >= T_min & Ty <= T_max ])
}

diff = X - Y_sync
print(summary(diff))

print(summary(lm(Y_sync~X)))
plot (diff~Tx, type="l")

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