Very useful, however as i will be aligning large datasets, is it possible to query a variable for the lead / lag for each series? So i can more 'automatically' align?
ideally the lag is stored in d$align or something Best mj Sent from my iPad On 14/05/2012, at 9:36 PM, Gabor Grothendieck <ggrothendi...@gmail.com> wrote: > On Mon, May 14, 2012 at 5:09 AM, Matthew Johnson <mcoog...@gmail.com> wrote: >> Sir, >> >> I have large data sets of economic indicators and would like to align >> them to a reference series - say the unemployment rate or industrial >> production. >> >> Is there a canned routine that returns the optimal lead / lag >> according to some (or a variety) of algorithims? not all series will >> be of the same length, however i would like to constrain the matching >> such that each element in the reference series matches to only one >> element in the comparison series. >> >> I do not mind if some data extend forward (in the case of series that >> lead the reference series), or back (in the case of laggers or series >> that are longer than the reference series). >> >> As a toy example, say my data set is constructed as follows: >> >> Index <- seq(0, 2*pi, length=100) >> >> With the reference series: >> >> S1 <- sin(index) >> >> And the series that i want to align to S1 are: >> >> S2 <- 2(cos(index) + runif(10)/100) >> S3 <- 0.5(sin(index +pi/4) + runif(10)/100) >> S4 <- sin(index + pi/3) + runif(10)/100 >> S4[1:25] <- NA >> >> In this case, I am looking for a function that tells me by how many >> periods i ought to advance the three series (S2, S3 and S4) to >> maximise their relationship with S1 - though it is not always the case >> that the reference series will lead. > > Check out the dtw in the dtw package: > > library(dtw) > d <- dtw(S1, S2) > d$index1 > d$index2 > > ?dtw > > > -- > Statistics & Software Consulting > GKX Group, GKX Associates Inc. > tel: 1-877-GKX-GROUP > email: ggrothendieck at gmail.com ______________________________________________ R-help@r-project.org 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.
