Gabor,
Maybe I am doing this wrong, but rule=2 does not look like it is growing the
series out, but rather just carrying the last value forward. It looks like
na.approx() followed by na.locf(). For instance:
m <- zoo(cbind(c(1, 2, NA, NA, 5, NA, NA), seq(7)^2), as.Date(1:7))
na.approx(m[, 1], x = m[, 2], rule=2)
1970-01-02 1970-01-03 1970-01-04 1970-01-05 1970-01-06 1970-01-07 1970-01-08
1.0 2.0 2.7 3.7 5.0 5.0 5.0
Abiel Reinhart
-----Original Message-----
From: Gabor Grothendieck [mailto:ggrothendi...@gmail.com]
Sent: Wednesday, May 12, 2010 10:40 AM
To: Abiel X Reinhart
Cc: r-help@r-project.org
Subject: Re: [R] Vectorized expression to extrapolate matrix columns with
columns of another matrix
Use rule = 2 as in the extrapolation examples in the na.approx help file.
On Wed, May 12, 2010 at 10:10 AM, Abiel X Reinhart
<abiel.x.reinh...@jpmchase.com> wrote:
> Gabor,
>
> This comes close to solving my problem, but I am still left with the problem
> of how I can extrapolate, not just interpolate. In our example, if I define m
> as,
>
> m <- zoo(cbind(c(1, 2, NA, NA, 5, NA, NA), seq(7)^2), as.Date(1:7))
>
> instead of
>
> m <- zoo(cbind(c(1, 2, NA, NA, 5, NA, 7), seq(7)^2), as.Date(1:7))
>
> then I will only get five values back, when I really want m[,1] to be fully
> extrapolated so that there are seven values. Is there a workaround?
>
> Abiel Reinhart
>
> -----Original Message-----
> From: Gabor Grothendieck [mailto:ggrothendi...@gmail.com]
> Sent: Wednesday, May 12, 2010 8:37 AM
> To: Abiel X Reinhart
> Cc: r-help@r-project.org
> Subject: Re: [R] Vectorized expression to extrapolate matrix columns with
> columns of another matrix
>
> Try this using the zoo package. See ?na.approx for more and note that
> this functionality requires zoo 1.6-3 or later.
>
> .> m <- zoo(cbind(c(1, 2, NA, NA, 5, NA, 7), seq(7)^2), as.Date(1:7))
>> na.approx(m[, 1], x = m[, 2])
> 1970-01-02 1970-01-03 1970-01-04 1970-01-05 1970-01-06 1970-01-07 1970-01-08
> 1.000000 2.000000 2.714286 3.714286 5.000000 5.916667 7.000000
>> na.approx(m[, 1])
> 1970-01-02 1970-01-03 1970-01-04 1970-01-05 1970-01-06 1970-01-07 1970-01-08
> 1 2 3 4 5 6 7
>
>
> On Tue, May 11, 2010 at 4:48 PM, Abiel X Reinhart
> <abiel.x.reinh...@jpmchase.com> wrote:
>> I have two identically sized matrices of data that represent time series (I
>> am storing the data in zoo objects, but the idea should apply to any matrix
>> of data). The time series in the second matrix extend further than in the
>> first matrix, and I would like to use the data in matrix 2 to extrapolate
>> the data in matrix 1. In other words, if mat1[i,j] == NA, then mat1[i,j] <-
>> mat1[i-1, j]*mat2[i,j]/mat2[i-1,j]. Of course, before we can calculate
>> mat1[i,j] we may need to calculate mat1[i-1,j], and that in turn may require
>> the computation of mat1[i-2,j], etc. This could all clearly be done with
>> loops, but I am wondering if anyone can think of a vectorized expression or
>> other efficient method that would work.
>>
>> Thanks very much.
>>
>> Abiel Reinhart
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