R help - Aug 2004 - Easy acf and pacf for irregular time series in R

R:

Is there an easy way to get the acf and pacf for an irregular times 
series?  That is, the acf and pacf with lag lengths that are in units of 
time, not observation number.


Thanks,

Jason Higbee
Research Associate
Federal Reserve Bank of St. Louis
The views expressed in this email are the author's and not necessarily 
those of the Federal Reserve Bank of St. Louis or the Federal Reserve 
System
	[[alternative HTML version deleted]]

>
>
>R:
>
>Is there an easy way to get the acf and pacf for an irregular times 
>series?  That is, the acf and pacf with lag lengths that are in units of 
>time, not observation number.
>  
>
There are several solutions available depending on the particular 
problem, some of them statistically "cleaner" than others:
For example eliminate non-business days (NA's) from the series and 
compute the acf and pacf (e.g. with na.remove from tseries).
For example interpolate to get a regular series and compute acf and pacf 
(e.g. with approx.irts from tseries).
For example use a methodology which can treat NA's (e.g. use Kalman 
filtering from ts (R-1.8.1) now ??) and compute the acf and pacf from 
the estimated model...

best
Adrian
>
>Thanks,
>
>Jason Higbee
>Research Associate
>Federal Reserve Bank of St. Louis
>The views expressed in this email are the author's and not necessarily 
>those of the Federal Reserve Bank of St. Louis or the Federal Reserve 
>System
>	[[alternative HTML version deleted]]
>