Re: [R] Irregular Time Series Issue

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Fri, 07 Mar 2008 17:14:40 -0800

      Have you considered using 'corCAR1' with 'lme' in the 'nlme' package?

      Hope this helps. 
      Spencer Graves

p.s. If you are not familiar with this, I highly recommend Pinheiro, J.C., and Bates, D.M. (2000) Mixed-Effects Models in S and S-PLUS (Springer). The "~R\library\nlme\scripts" directory contains "ch01.R", "ch02.R", etc., which contain R scripts to reproduce virtually all the examples in the text. These are especially valuable for R, because the book was written before 'nlme' was ported to R, and there are a few changes for which the version in the book gives the wrong answer, while following the script gives the correct answer.

A Mani wrote:
> Hello,
> I have an irregular time series of the form :
>
> Time Data Time1 Data1 ....
> 1 b 1 e
> 7 g 4 i
> NA NA 5 k
> NA NA NA NA ...
>
> (the columns have varying length of NAs after a certain point)
> Converting this to regular time series with Pastecs does not seem to
> work, when I see the
> entire data as a single series. So I remove the NAs and deal with one
> series at a time in a loop.
>
> Any suggestions ?
>
>
> Thanks
>
> A. Mani
>
>
>



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