Date with Gaps - Wavelet Analysis in R Using Biwavelet Package

Question

I am performing Wavelet Analysis using biwavelet package in R. The date variable does not have continuous dates but with gaps. When I try to create the graph, I get the following error.

Error in check.datum(d) : The step size must be constant (see approx function to interpolate)

An MWE is given below:

   library(foreign)
   library(biwavelet)
   library(xts)
   library(labelled)
   library(zoo)

   date =c("2020-02-13", "2020-02-14", "2020-02-17", "2020-02-18", "2020-02-19", "2020-02-20", "2020-02-21", "2020-02-24", "2020-02-25", "2020-02-26", "2020-02-27", "2020-02-28", "2020-03-02", "2020-03-03", "2020-03-04", "2020-03-05", "2020-03-06", "2020-03-09", "2020-03-10", "2020-03-11", "2020-03-12", "2020-03-13")
   rdate = as.Date(date)
   date <- as.Date(date, format = "%Y-%m-%d")
   date
   class(date)
   var = c(-0.077423148, -0.083293147, -0.089214072, -0.095185943, -0.101208754, -0.107282504, -0.113407195, -0.119582824, -0.125809386, -0.125806898, -0.132149309, -0.138584509,  -0.145112529, -0.151733354, -0.158446968, -0.165253401, -0.172152638, -0.179144681, -0.186229542, -0.193407193, -0.200677648, -0.208040923)
   data = data.frame(date, var)
   View(data)
   X <- as.xts(data[,-1], order.by = date)
   ABC <- data.frame(date, var)
   wt.t1=plot(wt(ABC), form = "%b-%d")

How can I resolve this issue?

Answer 1

You can interpolate missing days by following the instructions in the error message:

alldates <- seq(min(date), max(date), by = 1)
interpdata <- approx(date, var, xout = alldates)
ABC <- data.frame(date = alldates, var = interpdata$y)
wt.t1 <- plot(wt(ABC, form = "%b-%d")

However, I think the reason you are missing some days is that they are Saturday or Sunday; I only see weekdays in the dataset.

For many datasets (e.g. stock market trading, etc.) it doesn't make sense to interpolate "what would the price have been on Saturday?", because trades never occur on Saturday or Sunday. In that case, I'd suggest replacing the "date" variable with a simple increment, e.g.

date <- 1:length(date)
ABC <- data.frame(date, var)
wt.t1=plot(wt(ABC), form = "%b-%d")