Time series aggregation efficiency

Question

I commonly need to summarize a time series with irregular timing with a given aggregation function (i.e., sum, average, etc.). However, the current solution that I have seem

Answer 1

A little late to the party, but a single loop using accumarray makes a huge difference:

function aggArray = aggregate_gnovice(array, groupIndex, collapseFn)

  [groups, ~, index] = unique(groupIndex, 'rows');
  numCols = size(array, 2);
  aggArray = nan(numel(groups), numCols);
  for col = 1:numCols
    aggArray(:, col) = accumarray(index, array(:, col), [], collapseFn);
  end

end

Timing this using timeit in MATLAB R2016b for the sample data in the question gives the following:

original | 1.127141
 gnovice | 0.002205

Over a 500x speedup!