Merge asof

2026-01-01

Merge asof fuzzy matches two timeseries. Typically you have X = (tx,x1,x2,) and Y = (ty, y1, y2,) data matrices and the timestamp vectors tx, ty are not aligned. For each time in tx, there exists a value in ty that is an approximate match. Often we want a data matrix Z = (tx, ty, x1-n, y1-n) so that we can compute joint statistics on (X,Y) where Z = merge_asof(X,Y).

data-science

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