删除日期少于完整观测值的日期 [英] Removing dates with less than Full observations

问题描述

我有一个xts对象，该对象包含169天的高频率5分钟常规观测值，但是在某些日子中缺少观测值，即少于288个数据点.如何删除这些数据，以便只有几天的时间获得完整的数据点?

I have an xts object that covers 169 days of high frequency 5 minute regular observations, but on some of the days there are missing observations, i.e less than 288 data points. How do I remove these so to have only days with full data points?

ddx = endpoints(dxts, on="days");
days = format(index(dxts)[ddx], "%Y-%m-%d");


for (day in days) {
  x = dxts[day];
  cat('', day, "has", length(x), "records...\n");
}

我尝试了

RTAQ::exchangeHoursOnly(dxts, daybegin = "00:00:00", dayend = "23:55:00") 

但这仍然返回了完整的

谢谢

推荐答案

按天数划分.计算每天的行数，仅保留超过288行的行.

Split by days. Count the number of rows of each day, and only keep the ones that have more than 288 rows.

dxts <- .xts(rnorm(1000), 1:1000*5*60)
daylist <- lapply(split(dxts, "days"), function(x) {
    if(NROW(x) >= 288) x
})
do.call(rbind, daylist)

上面的内容将dxts划分为天".然后，如果行数大于288，则返回当天的所有数据，否则返回NULL.因此，daylist将是一个列表.它将具有xts对象或NULL的元素. do.call部分将在列表上调用rbind.就像调用rbind(daylist[[1]], daylist[[2]], ..., daylist[[n]])不会聚合NULL一样，因此您将剩下一个xts对象，该对象省略了少于288行的日期.

The above splits dxts by "days". Then, if the number of rows is greater than 288, it returns all the data for that day, otherwise, it returns NULL. So, daylist will be a list. It will have elements that are either an xts object, or NULL. The do.call part will call rbind on the list. It's like calling rbind(daylist[[1]], daylist[[2]], ..., daylist[[n]]) The NULLs won't be aggregated, so you'll be left with a single xts object that omits days with less than 288 rows.

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