Question

I have a time series in the following format:

time       data value
733408.33  x1
733409.21  x2
733409.56  x3
etc..

The data runs from approximately 01-Jan-2008 to 31-Dec-2010.
I want to separate the data into columns of monthly length.

For example the first column (January 2008) will comprise of the corresponding data values:

(first 01-Jan-2008 data value):(data value immediately preceding the first 01-Feb-2008 value)

Then the second column (February 2008):

(first 01-Feb-2008 data value):(data value immediately preceding the first 01-Mar-2008 value)

et cetera…

Some ideas I’ve been thinking of but don’t know how to put together:

1. Convert all serial time numbers (e.g. 733408.33) to character strings with datestr
2. Use strmatch('01-January-2008',DatesInChars) to find the indices of the rows corresponding to 01-January-2008
3. Tricky part (?): TransformedData(:,i) = OriginalData(start:end) ? end = strmatch(1) - 1 and start = 1. Then change start at the end of the loop to strmatch(1) and then run step 2 again to find the next “starting index” and change end to the “new” strmatch(1)-1 ?

Having it speed optimized would be nice; I am going to apply it on data sampled ~2 million times.

Thanks!

Answer 1

I would use histc with a list a list of last days of the month as the second parameter (Note: use histc with the two return functions).
The edge list can easily be created with datenum or datevec.

This way you don’t have operation on string and you that should be fast.

EDIT:
Example with result in a simple data structure (including some code from @Rody):

% Generate some test times/data

tstart = datenum('01-Jan-2008');
tend   = datenum('31-Dec-2010');

tspan = tstart : tend;
tspan = tspan(:) + randn(size(tspan(:))); % add some noise so it's non-uniform

data = randn(size(tspan));

% Generate list of edge
edge = [];
for y = 2008:2010
    for m = 1:12
        edge = [edge datenum(y, m, 1)];
    end
end

% Histogram
[number, bin] = histc(tspan, edge);

% Setup of result
result = {};

for n = 1:length(edge)
    result{n}  = [tspan(bin == n), data(bin == n)];    
end

% Test
% 04-Aug-2008 17:25:20
datestr(result{8}(4,1))
tspan(data ==  result{8}(4,2))
datestr(tspan(data ==  result{8}(4,2)))