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