将每日系列转换为每周将索引更改为所有周的星期五，而不管真实日期(convert a daily series into weekly changing the index to fridays in

将每日系列转换为每周将索引更改为所有周的星期五，而不管真实日期(convert a daily series into weekly changing the index to fridays in all weeks regardless of the true date)

我正在尝试将每日系列转换为星期五结束的每周系列。 每个系列都有缺失值，因此merge功能会留下一些NA。 我试过na.locf和to.weekly但没有为我工作。 我正在创建一个每周日期对象，其中包含该时段的所有星期五，并且由于某些星期三或星期四某些星期几结束，我无法匹配这些索引。

理想情况下，我想覆盖那些周末没有结束的最后一个值的日期。

library(quantmod) library(xts) TickerL <- c("ABE.MC", "FNC.MI", "ENI.MI") getSymbols(TickerL,from = "2000-01-01") pr <- list(ABE.MC[,4], FNC.MI[,4], ENI.MI[,4]) w.dates <- seq(from=min(index(ABE.MC)),to=max(index(ABE.MC)), by='days') w.dates <- w.dates[.indexwday(as.xts(w.dates))==5] if (max(index(ABE.MC)) > max(w.dates)) w.dates <- c(w.dates,seq(last(w.dates),by='weeks',length.out=2)[2]) pr2 <- lapply(pr, function(x) do.call(rbind, lapply(split(x, "weeks"), last))) pr3 <- do.call(merge, pr2)

I'm trying to convert a daily series into a weekly one ending on Fridays. There are missing values for each series and therefore merge function leave some NAs. I have tried with na.locf and to.weekly but didn't work for me. I'm creating a weekly date object containg all fridays in that period and, because some weeks end on wednesdays or thursdays for some series, I can't match those indexes.

Ideally I would like to overwrite the date of the last value in those weeks not ending on fridays.

library(quantmod) library(xts) TickerL <- c("ABE.MC", "FNC.MI", "ENI.MI") getSymbols(TickerL,from = "2000-01-01") pr <- list(ABE.MC[,4], FNC.MI[,4], ENI.MI[,4]) w.dates <- seq(from=min(index(ABE.MC)),to=max(index(ABE.MC)), by='days') w.dates <- w.dates[.indexwday(as.xts(w.dates))==5] if (max(index(ABE.MC)) > max(w.dates)) w.dates <- c(w.dates,seq(last(w.dates),by='weeks',length.out=2)[2]) pr2 <- lapply(pr, function(x) do.call(rbind, lapply(split(x, "weeks"), last))) pr3 <- do.call(merge, pr2)

最满意答案

感谢@G。 Grothendieck在动物园包装插图中的函数nextfri做了伎俩！

# given a Date, x, return the Date of the next Friday nextfri <- function(x) 7 * ceiling(as.numeric(x - 1)/7) + as.Date(1) pr2 <- lapply(pr, function(x) x <- do.call(rbind, lapply(split(x, "weeks"), last)) index(x) <- nextfri(index(x)) x ) pr3 <- do.call(merge, pr2)

Thanks to @G. Grothendieck the function nextfriin the zoo package vignette did the trick!

# given a Date, x, return the Date of the next Friday nextfri <- function(x) 7 * ceiling(as.numeric(x - 1)/7) + as.Date(1) pr2 <- lapply(pr, function(x) x <- do.call(rbind, lapply(split(x, "weeks"), last)) index(x) <- nextfri(index(x)) x ) pr3 <- do.call(merge, pr2)