在R中对齐时间序列

Question

I have a data frame like this.

         date    X1    X2 
1: 2001-12-31 96.32    NA    
2: 2002-01-29    NA 100.7   
3: 2002-01-31 96.59    NA     
4: 2002-02-28 96.67 100.7     
5: 2002-03-29    NA 100.7     
6: 2002-03-31 97.36    NA     
7: 2002-04-29    NA  87.3     
8: 2002-04-30 97.72    NA     
9: 2002-05-29    NA  87.3     
10:2002-05-31 97.60    NA   

I have some values with different dates and I would like to align them to month end, so would like to use X1 as a "base" and align X2 values to month end as in X1. End product would be clean data frame without NAs and matching dates.

Expected output:

         date    X1    X2
1: 2001-12-31 96.32  NA
2: 2002-01-31 96.59 100.7
3: 2002-02-28 96.67 100.7
4: 2002-03-31 97.36 100.7
5: 2002-04-30 97.72  87.3
6: 2002-05-31 97.60  87.3

Data

df <- structure(list(date = structure(c(11687L, 11716L, 11718L, 11746L, 
    11775L, 11777L, 11806L, 11807L, 11836L, 11838L), class = "Date"), 
        X1 = c(96.32, NA, 96.59, 96.67, NA, 97.36, NA, 97.72, NA, 
        97.6), X2 = c(NA, 100.7, NA, 100.7, 100.7, NA, 87.3, NA, 
        87.3, NA)), .Names = c("date", "X1", "X2"), row.names = c(NA, 
    10L), class = "data.frame")

Answer 1

We could try the following using data.table .

library(data.table)
setDT(df)[,month := month(date)][,lapply(.SD, max, na.rm = TRUE), by = month]
#   month       date    X1    X2
#1:    12 2001-12-31 96.32  -Inf
#2:     1 2002-01-31 96.59 100.7
#3:     2 2002-02-28 96.67 100.7
#4:     3 2002-03-31 97.36 100.7
#5:     4 2002-04-30 97.72  87.3
#6:     5 2002-05-31 97.60  87.3

There is a new variable month that has been created for grouping purposes (and to keep the original date column), you can always get rid of it if not needed afterwards.