MATLAB: Problems using retime within timetable

monthly averagesquarterly averagesretimetimetable

Dear all,

Using daily zero coupon yields data from 16-Aug-1972 until 13-Jul-2018 (see Gurkaynak et al 2006), I used

rmissing(retime(data,'frequency',@mean))

to get monthly and quarterly averages. The resulting monthly averages were fine. The same holds for the quarterly averages, however, with the exemption that matlab skipped the calculation of 2008Q1. Only when first calculating monthly averages, all quarters were calculated.

Can someone educate me for why taking quarterly averages directly from daily worked for all quarters but 2008Q1?

Thanks. Best, Gavin

Best Answer

I think your data set is the following:

https://www.federalreserve.gov/pubs/feds/2006/200628/200628abs.html

Looking at the data, there is NaN at 2008-03-21 in the data set (feds200628.xls) and this causes your problem. In default settings, the nanflag of the function mean is set to 'includenan'. So, the mean value of 2008Q1 was not calculated.

To avoid this, please use

retime(data,'quarterly','mean')

retime(data,'quarterly',@(x) mean(x, 'omitnan'))

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You can either write a wrapper function, or extend the anonymous function:

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accumarray(x,y,[N'1],@my_mean_omitnan)
function res=my_mean_omitnan(in)
res=mean(in,'omitnan');
end

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