Mark, thanks for the tips. I thought you financial folks must have run into things like these before. Just wonder why this problem wasn't asked more often on this list.
H. >>> "Leeds, Mark (IED)" <[EMAIL PROTECTED]> 6/22/2007 12:16 PM >>> I have a function that does this type of thing but it works off a pure vector so it wouldn have to be modified. If you make your object a zoo object, the that object has many functions associated with it and na.locf would Do what you need, I think. -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Erik Iverson Sent: Friday, June 22, 2007 3:02 PM To: Horace Tso Cc: r-help@stat.math.ethz.ch Subject: Re: [R] Imputing missing values in time series I think my example should work for you, but I couldn't think of a way to do this without an interative while loop. test <- c(1,2,3,NA,4,NA,NA,5,NA,6,7,NA) while(any(is.na(test))) test[is.na(test)] <- test[which(is.na(test))-1] test [1] 1 2 3 3 4 4 4 5 5 6 7 7 Horace Tso wrote: > Folks, > > This must be a rather common problem with real life time series data > but I don't see anything in the archive about how to deal with it. I > have a time series of natural gas prices by flow date. Since gas is > not traded on weekends and holidays, I have a lot of missing values, > > FDate Price > 11/1/2006 6.28 > 11/2/2006 6.58 > 11/3/2006 6.586 > 11/4/2006 6.716 > 11/5/2006 NA > 11/6/2006 NA > 11/7/2006 6.262 > 11/8/2006 6.27 > 11/9/2006 6.696 > 11/10/2006 6.729 > 11/11/2006 6.487 > 11/12/2006 NA > 11/13/2006 NA > 11/14/2006 6.725 > 11/15/2006 6.844 > 11/16/2006 6.907 > > What I would like to do is to fill the NAs with the price from the > previous date * gas used during holidays is purchased from the week > before. Though real simple, I wonder if there is a function to perform > this task. Some of the imputation functions I'm aware of (eg. impute, > transcan in Hmisc) seem to deal with completely different problems. > > 2.5.0/Windows XP > > Thanks in advance. > > HT > > ______________________________________________ > 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. -------------------------------------------------------- This is not an offer (or solicitation of an offer) to buy/se...{{dropped}} ______________________________________________ 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.