[SciPy-User] scikits.timeseries: How to define frequency of15minutes

Pierre GM pgmdevlist@gmail....
Fri Apr 16 14:23:41 CDT 2010


On Apr 16, 2010, at 2:07 PM, Matt Knox wrote:
> Georges Schutz <georges.schutz <at> internet.lu> writes:
> 
>> 
>> I know that the underlying code is in C and that this is also the reason 
>> of the fast runtime of this python modules what I appreciate of cause. 
>> My initial question was if there exist a method to realize custom 
>> frequencies which seems not being the case. Know the question is is 
>> nobody else needing such a feature or is it somewhere on a todo list or 
>> even someone already implemented it in a one extension.
> 
> This isn't on my to-do list, or Pierre's either so far as I know. Although I
> certainly agree it is a useful feature. As far as major new features, I am
> kind of waiting to see what transpires with the numpy datetime data type when
> it matures a bit and then maybe see how we might integrate that into the time
> series package, at which point it would also be useful to revisit this feature.


I agree with Matt: the new numpy dtypes may be a good lead, but it's still far too early to tell how easy it'll be to merge it w/ scikits.timeseries.
Keep in mind that the package was initially designed to provide some convenience while analyzing data at frequencies of a day or lower, because that was what Matt and I had to deal with. However, like Matt, I recognize that having the possibility to define specific frequencies would be great. Unfortunately, we are at this point stuck with the existing frequencies.
There are a couple of ways to handle 15-min frequencies, though. As suggested before, you could use a minutely frequency. However, you'd end up with 93% of missing data, which can be a bit wasteful. A second possibility is to use a hour frequency with a (n,4) series, with n the number of hours. In turn, this might be a problem if you want to convert the series to another frequency (nD series are not recognized by .convert), but that could get you started.
Of course, that'll depend on what you want to do.
Let us know how it goes
P.




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