There are a few ways. The xts package has a "lag" function. So does
"zoo". Pay careful attention to the conventions used for specifying
relative time in these various packages. You can also infill your missing
data to create a regularly-spaced time series. There is no shortage of
web information about this topic... you can start at the Time Series task
view on CRAN or just use a search engine.
On Sun, 14 Oct 2012, Noah Silverman wrote:
Hello,
I have a time series object (xts) that I iterate over in a loop. Works fine.
My challenge is that I want to be able to reference other entries in the series
by math. i.e. For today's observation, what were the last 5 observations? If
indexed numerically, it is trivial, but I can figure out how to do this with
dates.
This is slightly more difficult as there may not be an observation for every
day. So I might want the last 5 that exist in the table, not the last 5
calendar days.
ideally, it would be something like this.
observations[ index(today)-5:today, ]
However that obviously fails.
Ideas?
--
Noah Silverman, M.S.
UCLA Department of Statistics
8117 Math Sciences Building
Los Angeles, CA 90095
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