MATLAB: Computing montly averages when time series observations are irregural

cell

 Dear all,
I have the following problem
Let
A ={
'02/11/08'    [0.2150]    [429.5674]    [    100]    [2.2678e+04]
   '30/11/08'    [0.2117]    [463.1360]    [    100]    [2.4383e+04]
    '28/12/08'    [0.2209]    [436.6316]    [    100]    [2.3148e+04]
    '25/01/09'    [0.2212]    [441.5430]    [    100]    [2.2987e+04]
    '22/02/09'    [0.2201]    [453.7015]    [    100]    [2.3675e+04]
    '22/03/09'    [0.2185]    [461.3925]    [    100]    [2.3680e+04]
    '19/04/09'    [0.2104]    [486.4095]    [    100]    [2.5367e+04]
    '17/05/09'    [0.2162]    [451.4833]    [    100]    [2.3986e+04]
    '14/06/09'    [0.2158]    [475.8620]    [    100]    [2.4245e+04]
    '12/07/09'    [0.2211]    [449.4574]    [    100]    [2.2766e+04]
    '09/08/09'    [0.2221]    [456.2507]    [    100]    [2.2523e+04]
    '06/09/09'    [0.2175]    [472.2659]    [    100]    [2.3593e+04]
    '04/10/09'    [0.2182]    [479.3408]    [    100]    [2.4359e+04]
    '01/11/09'    [0.2286]    [442.6719]    [    100]    [2.1490e+04]
    '29/11/09'    [0.2211]    [481.4548]    [    100]    [2.4054e+04]
    '27/12/09'    [0.2259]    [468.2757]    [    100]    [2.3037e+04]
    '31/01/10'    [0.2300]    [461.5581]    [    100]    [2.2050e+04]
    '28/02/10'    [0.2259]    [487.6257]    [    100]    [2.3293e+04]
    '28/03/10'    [0.2200]    [529.8777]    [    100]    [2.5493e+04]
    '25/04/10'    [0.2315]    [433.3039]    [    100]    [2.0387e+04]
    '23/05/10'    [0.2274]    [500.8603]    [    100]    [2.4019e+04]
}
As you can see from the first column I have irregular time series observations. Each observation can represent a 4-week or a 5-week or a 6-week average. For example the observation [0.2117] which is the second value of the second column is the average of the values that have been recorded between ‘03/11/08' and '30/11/08' In order to be able to analyze econometrically these data and run my regressions I need to obtain regular time series observations. So I need to convert these values to monthly averages and have something like
Let A ={
'11/08'     [mon. average]     [mon. average]    [mon. average] 
  '12/08' [mon. average]     [mon. average]    [mon. average] 
  '01/09'  [mon. average]     [mon. average]    [mon. average]  
  '02/09'    [mon. average]     [mon. average]    [mon. average] 
  '03/09'   [mon. average]     [mon. average]    [mon. average] 
  '04/09'   [mon. average]     [mon. average]    [mon. average]    
  '05/09'  [mon. average]     [mon. average]    [mon. average]  
  '06/09'  [mon. average]     [mon. average]    [mon. average]      
  '07/09'  [mon. average]     [mon. average]    [mon. average]     
  '08/09'  [mon. average]     [mon. average]    [mon. average]     
  '09/09'  [mon. average]     [mon. average]    [mon. average]      
  '10/09' [mon. average]     [mon. average]    [mon. average]      
  '11/09'  [mon. average]     [mon. average]    [mon. average]    
  '12/09'  [mon. average]     [mon. average]     [mon. average]
}
Could interpolation be a solution to this problem? I would be grateful if you could provide some code.
cheers

Best Answer

Hint:
  • vec = datevec( A{:,1}, 'dd/mm/yy' )
  • out = accumarray( vec(:,2), A(something), [], @mean )
Better
    vec = datevec( char(A{:,1}), 'dd/mm/yy' );
    out = accumarray( vec(:,2:3), transpose([A{:,2}]), [], @mean );
This returns the means of the values of each month respectively. There is a value for each month. Is that what you want?
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