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How to pair two Timeseries?

Posted 10 years ago

Hello

I Have 2 tables with the folloing structure:

enter image description here

To calculate things like correlation, I want to create an new paired table like this:

enter image description here

I tried diffrent things, for example:

Timing[
 d = Intersection[smi[[;; , 1]], abb[[;; , 1]]];
 p1 = Flatten[Position[Map[MemberQ[d, #] &, smi[[;; , 1]]], True]];
 p2 = Flatten[Position[Map[MemberQ[d, #] &, abb[[;; , 1]]], True]];
 paired = Transpose[{d, smi[[p1, 2]], abb[[p2, 2]]}];
 ]

The Problem is, that this is really slow (4 seconds for about 6000 dates). I think there must be a simple and much faster solution than mine. I would be happy for a little help!

POSTED BY: Juerg Baertsch
3 Replies
Posted 10 years ago

Excellent!

POSTED BY: Eric Rimbey
Posted 10 years ago

Hi Eric

Thanks a lot for the hint. With Assosiation and KeyIntersection I get the wished result in 0.03 Seconds, so that I can work with this now!

Kind regards!

POSTED BY: Juerg Baertsch
Posted 10 years ago
POSTED BY: Eric Rimbey
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