Maybe arima with the xreg= argument.
On 10/11/07, Creighton, Sean <sean.creighton at citi.com>
wrote:> Hi
>
> I have a collection of about 16 time series with occasional missing
> data. A few of these time-series start later than the rest. There is a
> relatively high correlation between them (they are hourly temps at
> various locations around the UK). The longest series contains about
> 40000 points
>
> I have constructed each time series into a zoo object and then merged
> each of these objects in to one (zoo is great!). Using na.approx I can
> interpolate through a single column for the occasional missing data. Now
> I would like to cross interpolate those series which start later than
> the rest.
>
> I thought of reducing the collated zoo object down to a time span where
> all columns where defined, then calculating a correlation matrix. Then
> taking this matrix back to the larger collated zoo object and then
> interpolating the missing values based on the correlations I have found.
> I'm assuming correlation is stationary year to year.
>
> Has anybody tried anything like this? Is a function out there that could
> help?
>
> Thanks
> Sean
>
>
>
>
> [[alternative HTML version deleted]]
>
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