-----BEGIN PGP SIGNED MESSAGE----- Hash: SHA1 I need to count the covariance of two time series. Both of them contain the dates' vector and vector of values. But the dates are not the same. It means some dates of first ts are not in the second respectively. And I need the covariance of same dates, of course. Could anyone help me, please? Thank you. lukas - -- Lukas Kubin lukas.kubin at permonik.com phone: 00420603836180 -----BEGIN PGP SIGNATURE----- Version: GnuPG v1.0.5 (GNU/Linux) Comment: For info see http://www.gnupg.org iD8DBQE8e2B14TIZ2lmUAtsRAi3AAJ0Sd7G8MkFMPmdmfhBxDFcHo4CjaQCgjcLZ bbVG0SM5cMYKk497WJzsAe8=N1KE -----END PGP SIGNATURE----- -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
Hello Lukas, I hope this short example will help d1 <- data.frame(time=c(1,4,8,11,12,18),data=runif(6)) #some random data d2 <- data.frame(time=c(1,4,9,10,12,17),data=runif(6)) #some random data d <- data.frame(time=sort(unique(c(d1$time,d2$time))),data1=NA,data2=NA) #combine the time d[match(d1$time,d$time),'data1'] <- d1$data #add the data d[match(d2$time,d$time),'data2'] <- d2$data #add the data cov(d$data1,d$data2,use='complete') gruess joerg Lukas Kubin wrote:> > -----BEGIN PGP SIGNED MESSAGE----- > Hash: SHA1 > > I need to count the covariance of two time series. Both of them contain > the dates' vector and vector of values. But the dates are not the same. It > means some dates of first ts are not in the second respectively. And I > need the covariance of same dates, of course. > Could anyone help me, please? > Thank you. > > lukas > > - -- > Lukas Kubin > lukas.kubin at permonik.com > phone: 00420603836180 > -----BEGIN PGP SIGNATURE----- > Version: GnuPG v1.0.5 (GNU/Linux) > Comment: For info see http://www.gnupg.org > > iD8DBQE8e2B14TIZ2lmUAtsRAi3AAJ0Sd7G8MkFMPmdmfhBxDFcHo4CjaQCgjcLZ > bbVG0SM5cMYKk497WJzsAe8> =N1KE > -----END PGP SIGNATURE----- > > -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- > r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html > Send "info", "help", or "[un]subscribe" > (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch > _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._-- Joerg Maeder .:|:||:..:.||.:: maeder at atmos.umnw.ethz.ch Tel: +41 1 633 36 25 .:|:||:..:.||.:: http://www.iac.ethz.ch/staff/maeder PhD student at INSTITUTE FOR ATMOSPHERIC AND CLIMATE SCIENCE (IACETH) ETH Z?RICH Switzerland -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
Maybe try something along these lines: Suppose the time series value vectors are x1 and x2 and the dates vectors are dates1 and dates2. names(x1) <- dates1 names(x2) <- dates2 commonDates <- intersect( dates1 , dates2 ) desiredCovariance <- cov( x1[commonDates] , x2[commonDates] , use="c" )> -----Original Message----- > From: Lukas Kubin [SMTP:lukas.kubin at permonik.com] > Sent: Tuesday, February 26, 2002 5:16 AM > To: r-help at stat.math.ethz.ch > Subject: [R] covariance of equal date values > > -----BEGIN PGP SIGNED MESSAGE----- > Hash: SHA1 > > I need to count the covariance of two time series. Both of them contain > the dates' vector and vector of values. But the dates are not the same. It > means some dates of first ts are not in the second respectively. And I > need the covariance of same dates, of course. > Could anyone help me, please? > Thank you. > > lukas > > - -- > Lukas Kubin > lukas.kubin at permonik.com > phone: 00420603836180 > -----BEGIN PGP SIGNATURE----- > Version: GnuPG v1.0.5 (GNU/Linux) > Comment: For info see http://www.gnupg.org > > iD8DBQE8e2B14TIZ2lmUAtsRAi3AAJ0Sd7G8MkFMPmdmfhBxDFcHo4CjaQCgjcLZ > bbVG0SM5cMYKk497WJzsAe8> =N1KE > -----END PGP SIGNATURE----- > > -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-. > -.-.- > r-help mailing list -- Read > http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html > Send "info", "help", or "[un]subscribe" > (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch > _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._. > _._._-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._