Synchronize two time series matlab R2015a

Question

tilfani oussama 2018-3-2

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/385928-synchronize-two-time-series-matlab-r2015a

回答： tilfani oussama 2018-3-5

采纳的回答： Star Strider

I have two time series SP and CAC40 returns, i would like to save only equal dates values, i have a matlab 2015a. Bests

1 个评论
显示 -1更早的评论隐藏 -1更早的评论

Star Strider 2018-3-2

See: Synchronize two time series (link).

请先登录，再进行评论。

请先登录，再回答此问题。

Answer 1

Star Strider 2018-3-2

0
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/385928-synchronize-two-time-series-matlab-r2015a#answer_308073

在 MATLAB Online 中打开

Try this:

[D1,S1,R1] = xlsread('SP dated.xls');
[D2,S2,R2] = xlsread('CAC40 dated.xls');
S1ds = R1(2:end,:);                                                 % Valid ‘SP’ Data (Omitting Header)
S2ds = R2(2:end,:);                                                 % Valid ‘CAC40’ Data (Omitting Header)
dn1 = datenum(S1ds(:,1), 'yyyy-mm-dd');                             % Convert To ‘Date Numbers’
dn2 = datenum(S2ds(:,1), 'yyyy-mm-dd');                             % Convert To ‘Date Numbers’
[Dc, ia, ic] = intersect(dn1, dn2, 'stable');                       % Common Date Numbers
SP = S1ds(ia,:);                                                    % ‘SP’ Result Matrix
CAC40 = S2ds(ic,:);                                                 % ‘CAC40’ Result Matrix
SP_First10 = SP(1:10,:);                                            % Examine Output (Delete Later)
CAC40_First10 = CAC40(1:10,:);                                      % Examine Output (Delete Later)

The code is straightforward, and the comments document what each line does. The 'stable' argument to the intersect call keeps everything in the original order rather than sorting it.

The sizes of the output arrays ‘SP’ and ‘CAC40’ are the same sizes (as they should be), and both less than the original of either of the original arrays, indicating that they now have only common dates. I looked at a range of them but not all, and the result appears to be what you want.

I included ‘SP_First10’ and ‘CAC40_First10’ to let you easily examine that range or any other range you want, to verify that the data are correct.