Hi everyone,
I am new to R and I have a beginner's question on Time Series: I have an
irregular time series that goes like this:
TIMESTAMP PRICE
2010-11-29 12:29:28 25.255
2010-11-29 12:30:47 25.255
2010-11-29 12:36:58 25.230
2010-11-29 12:43:14 25.235
2010-11-29 12:44:18 25.235
The first column is the xts date-time and second the is the actual series. I
want to lag the PRICE by 15 minutes or more, i.e. for each datapoint to take
the first observation after 15' have passed. Is there a neat way of doing that?
I can obviously treat it a regular TS with a very small delta (1'' in this
case) and back-fill all the missing observations - then I can take 15*60=900
lags⦠But I think it would be very inefficient, especially in cases where one
needs to consider milliseconds.
Thanks,
Vassili
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