Sampling frequency

Time Series Analysis in R

David S. Matteson

Associate Professor at Cornell University

Sampling frequency: exact

  • Some time series data is exactly evenly spaced.

Time Series Analysis in R

Sampling frequency: approximate

  • Some time series data is only approximately evenly spaced.

Time Series Analysis in R

Sampling frequency: missing values

  • Some time series data is evenly spaced, but with missing values.

Time Series Analysis in R

Basic assumptions

Simplifying assumptions for time series:

  • Consecutive observations are equally spaced.
  • Apply a discrete-time observation index.
  • This may only hold approximately.

Ex. Daily log returns on stock may only be available for weekdays.

Ex. Monthly CPI values are equally spaced by month, not by days.

Time Series Analysis in R

Sampling frequency: R functions

  • R functions: start(), end(), frequency(), deltat()
start(Hourly_series)

1 1

end(Hourly_series)

1 24

frequency(Hourly_series)

24

deltat(Hourly_series)

0.0417
Time Series Analysis in R

Let's practice!

Time Series Analysis in R

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