R: Aggregate a fine time series to a coarse summary

aggregate.time.series {bsts} | R Documentation

## Aggregate a fine time series to a coarse summary

### Description

Aggregate measurements from a fine scaled time series into a coarse time series. This is similar to functions from the `xts` package, but it can handle aggregation from weeks to months.

### Usage

       AggregateTimeSeries(fine.series,
                           contains.end,
                           membership.fraction,
                           trim.left = any(membership.fraction < 1),
                           trim.right = NULL,
                           byrow = TRUE)

### Arguments

`fine.series` | A numeric vector or matrix giving the fine scale time series to be aggregated.
`contains.end` | A logical vector corresponding to `fine.series` indicating whether each fine time interval contains the end of a coarse time interval.
`membership.fraction` | A numeric vector corresponding to `fine.series`, giving the fraction of each time interval's observation attributable to the coarse interval containing the fine interval's first day. This will usually be a vector of 1's, unless `fine.series` is weekly.
`trim.left` | Logical indicating whether the first observation in the coarse aggregate should be removed.
`trim.right` | Logical indicating whether the final observation in the coarse aggregate should be removed.
`byrow` | Logical. If `fine.series` is a matrix, this argument indicates whether rows (`TRUE`) or columns (`FALSE`) correspond to time points.

### Value

A matrix (if `fine.series` is a matrix) or vector (otherwise) containing the aggregated values of `fine.series`.

### Author(s)

Steven L. Scott steve.the.bayesian@gmail.com

### Examples

      week.ending <- as.Date(c("2011-11-05",
                               "2011-11-12",
                               "2011-11-19",
                               "2011-11-26",
                               "2011-12-03",
                               "2011-12-10",
                               "2011-12-17",
                               "2011-12-24",
                               "2011-12-31"))
      membership.fraction <- GetFractionOfDaysInInitialMonth(week.ending)
      which.month <- MatchWeekToMonth(week.ending, as.Date("2011-11-01"))
      contains.end <- WeekEndsMonth(week.ending)

      weekly.values <- rnorm(length(week.ending))
      monthly.values <- AggregateTimeSeries(weekly.values, contains.end, membership.fraction)

[Package bsts version 0.9.6 Index]