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How to split a daily DateList by week?

  • To: mathgroup at smc.vnet.net
  • Subject: [mg114862] How to split a daily DateList by week?
  • From: "Sohn Hyun-U" <hsohn at student.ethz.ch>
  • Date: Tue, 21 Dec 2010 00:16:33 -0500 (EST)

Hi there,

Suppose I have a weekdaily DateList of financial data. Sometimes, a day is 
missing due to holidays etc.
I would like to split it by quarter (Q), calendar month (M), and calendar week (W), for example to compute intra-${Q,M,W} statistics.

For months, I did the following:

splitByMonth[ts_] := (
  maxYear = Max[ts[[All, 1, 1]]];
  minYear = Min[ts[[All, 1, 1]]];
  dummy =
   Table[Select[ts, #[[1, 1]] == year && #[[1, 2]] == month &], {year,
      minYear, maxYear}, {month, 1, 12}] // Sort;
  Flatten[dummy, {1, 2}]
  )

The problem with weeks is that there is no counter in the DateList format, so the only way I at the moment uses date conversions to strings of "DayName", which looks rather crummy, particularly if there are days missing sometimes due to holidays etc.

I'm sure there is a better way but I can't find it. Can anyone here help me out?

Kind regards,
Hyun-U Sohn


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