Question

I’m running into problems when taking lower-frequency time-series in pandas, such as monthly or quarterly data, and upsampling it to a weekly frequency. For example,

data = np.arange(3, dtype=np.float64)
s = Series(data, index=date_range('2012-01-01', periods=len(data), freq='M'))
s.resample('W-SUN')

results in a series filled with NaN everywhere. Basically the same thing happens if I do:

s.reindex(DatetimeIndex(start=s.index[0].replace(day=1), end=s.index[-1], freq='W-SUN'))

If s were indexed with a PeriodIndex instead I would get an error: ValueError: Frequency M cannot be resampled to <1 Week: kwds={'weekday': 6}, weekday=6>

I can understand why this might happen, as the weekly dates don’t exactly align with the monthly dates, and weeks can overlap months. However, I would like to implement some simple rules to handle this anyway. In particular, (1) set the last week ending in the month to the monthly value, (2) set the first week ending in the month to the monthly value, or (3) set all the weeks ending in the month to the monthly value. What might be an approach to accomplish that? I can imagine wanting to extend this to bi-weekly data as well.

EDIT: An example of what I would ideally like the output of case (1) to be would be:

2012-01-01   NaN
2012-01-08   NaN
2012-01-15   NaN
2012-01-22   NaN
2012-01-29   0
2012-02-05   NaN
2012-02-12   NaN
2012-02-19   NaN
2012-02-26   1
2012-03-04   NaN
2012-03-11   NaN
2012-03-18   NaN
2012-03-25   2

Answer 1

I made a github issue regarding your question. Need to add the relevant feature to pandas.

Case 3 is achievable directly via fill_method:

In [25]: s
Out[25]: 
2012-01-31    0
2012-02-29    1
2012-03-31    2
Freq: M

In [26]: s.resample('W', fill_method='ffill')
Out[26]: 
2012-02-05    0
2012-02-12    0
2012-02-19    0
2012-02-26    0
2012-03-04    1
2012-03-11    1
2012-03-18    1
2012-03-25    1
2012-04-01    2
Freq: W-SUN

But for others you’ll have to do some contorting right now that will hopefully be remedied by the github issue before the next release.

Also it looks like you want the upcoming ‘span’ resampling convention as well that will upsample from the start of the first period to the end of the last period. I’m not sure there is an easy way to anchor the start/end points for a DatetimeIndex but it should at least be there for PeriodIndex.