CODEWITHSUNDEEP
matlab
pr338
pr338

Reputation: 9170

How to average over time in matlab fints time series object?

Data

Financial Time Series Object (FINTS) with the following columns:

Date Time Number

I have data for every hour for every single day for 2 years.

Problem

I want to have the average for every hour for the past year. In other words, I want to have the time column with all 24 hours in a day and the corresponding number should be an average of all the past days at that same hour.

What I tried

I've tried looking at the perav, tsmovavg function and accumarray function. Any other ideas? I am new to Matlab so I don't even know how to loop over this time series data. There must be some sort of way to do this though considering the fact it is a time series object using time series specific functions.

Edit: I'd like to leave it in a time series ideally.

Upvotes: 1

Views: 114

Answers (1)

Ali Rokni
Ali Rokni

Reputation: 168

Assuming your data has been stored in a Matrix F, "Date" is year and "Time" is hour, you can use this for loop to print average of the same time during different days of particular year y:

for t=unique(F(:,2))
   mean(F(F(:,2)==t & F(:,1)==y) ,3)
end

Explanation: By using unique you can retrieve different values of "Time". Two conditions inside the mean make sure mean of the same "Time" in a particular year.

Upvotes: 1

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