Intersection of multiple time-series

2 次查看（过去 30 天）
Léon
Léon 2011-9-26
I managed to get the intersection of all time-series, but now I want to reduce all matrices based upon this intersection stored in 'AnB':
So the problem is how to extract all rows for that I have data points. As of now the last line is incorrect.
May somebody help me? Thank you very much!
%%1. Get data
conn = yahoo('http://download.finance.yahoo.com');
stocks = {'^GDAXI';'DB1.DE';'ADS'}
Beginn = {'Jan 01 2009'}
Ende = {'Dec 31 2011'}
N = length(stocks)
data = cell(N,1);
for n = 1:N,
data{n} = fetch(conn, stocks(n,1),{'Close', 'Adj Close'},Beginn, Ende, 'd');
end;
%%2. Sync time series
for n = 1:N,
% Get the dates where I have data in all series (intersection)
AnB = intersect(data{n,1}(:,1),data{n,1}(:,1));
end;
for n = 1:N,
% Now delete all rows in every time-series that are not part of the intersection
[c, a, b] = intersect(AnB(:,1),data{n,1}(:,1));
data{n,1} = data{n,1}(a,:); % --> this gives an error
end;

请先登录，再回答此问题。

回答（2 个）

Fangjun Jiang
Fangjun Jiang 2011-9-26
Use this example, the key is to check the extra return arguments of intersect().
A={'a',1;'b',2;'c',3;'d',4};
B={'a',10;'c',30;'e',40;'f',50};
[AnB,IA,IB]=intersect(A(:,1),B(:,1));
NewA=A(IA,:);
NewB=B(IB,:);
Léon
Léon 2011-9-26
Sorry, I don't get it. :-(
I understand your example, but I have stored the data in cell arrays and call each matrix of this array in the loop, so I don't know how to adapt your code. As you can see in my code I already tried this but it results in an error.
  1 个评论
Fangjun Jiang
Fangjun Jiang 2011-9-26
Please give a short snip of data to make your point. Others won't go fetch the stock from Yahoo to test your code. You also need to double check your code. AnB = intersect(data{n,1}(:,1),data{n,1}(:,1)) has two exact same input arguments.

请先登录，再进行评论。

类别

在 Help Center 和 File Exchange 中查找有关 Time Series Events 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by