Pandas check time series continuity

Question

I have a DataFrame with monthly index. I want to examine whether the time index is continuous on the monthly frequency, and, if possible, spots where it becomes discontinuous e.g. has certain "gap months" between two months that are adjacent in its index.

Example: the following time series data

1964-07-31    100.00
1964-08-31     98.81
1964-09-30    101.21
1964-11-30    101.42
1964-12-31    101.45
1965-03-31     91.49
1965-04-30     90.33
1965-05-31     85.23
1965-06-30     86.10
1965-08-31     84.26

misses 1964/10, 1965/[1,2,7].

Answer 1

Use asfreq by month for add missing datetimes, filter it to new Series and if necessary grouping by years with create list of months:

s = s.asfreq('m')
s1 = pd.Series(s[s.isnull()].index)
print (s1)
0   1964-10-31
1   1965-01-31
2   1965-02-28
3   1965-07-31
Name: 0, dtype: datetime64[ns]

out = s1.dt.month.groupby(s1.dt.year).apply(list)
print (out)
0
1964         [10]
1965    [1, 2, 7]
Name: 0, dtype: object

Setup:

s = pd.Series({pd.Timestamp('1964-07-31 00:00:00'): 100.0, 
               pd.Timestamp('1964-08-31 00:00:00'): 98.81, 
               pd.Timestamp('1964-09-30 00:00:00'): 101.21, 
               pd.Timestamp('1964-11-30 00:00:00'): 101.42, 
               pd.Timestamp('1964-12-31 00:00:00'): 101.45,
               pd.Timestamp('1965-03-31 00:00:00'): 91.49, 
               pd.Timestamp('1965-04-30 00:00:00'): 90.33, 
               pd.Timestamp('1965-05-31 00:00:00'): 85.23, 
               pd.Timestamp('1965-06-30 00:00:00'): 86.1, 
               pd.Timestamp('1965-08-31 00:00:00'): 84.26})

print (s)
1964-07-31    100.00
1964-08-31     98.81
1964-09-30    101.21
1964-11-30    101.42
1964-12-31    101.45
1965-03-31     91.49
1965-04-30     90.33
1965-05-31     85.23
1965-06-30     86.10
1965-08-31     84.26
dtype: float64

EDIT:

If datetimes are not always last day of months:

s = pd.Series({pd.Timestamp('1964-07-31 00:00:00'): 100.0, 
               pd.Timestamp('1964-08-31 00:00:00'): 98.81, 
               pd.Timestamp('1964-09-01 00:00:00'): 101.21, 
               pd.Timestamp('1964-11-02 00:00:00'): 101.42, 
               pd.Timestamp('1964-12-05 00:00:00'): 101.45,
               pd.Timestamp('1965-03-31 00:00:00'): 91.49, 
               pd.Timestamp('1965-04-30 00:00:00'): 90.33, 
               pd.Timestamp('1965-05-31 00:00:00'): 85.23, 
               pd.Timestamp('1965-06-30 00:00:00'): 86.1, 
               pd.Timestamp('1965-08-31 00:00:00'): 84.26})
print (s)
1964-07-31    100.00
1964-08-31     98.81
1964-09-01    101.21
1964-11-02    101.42
1964-12-05    101.45
1965-03-31     91.49
1965-04-30     90.33
1965-05-31     85.23
1965-06-30     86.10
1965-08-31     84.26
dtype: float64

#convert all months to first day
s.index = s.index.to_period('m').to_timestamp()
#MS is start month frequency
s = s.asfreq('MS')
s1 = pd.Series(s[s.isnull()].index)
print (s1)
0   1964-10-01
1   1965-01-01
2   1965-02-01
3   1965-07-01
dtype: datetime64[ns]

Answer 2

I often do that by calculating the gap between each index value.

times_gaps = df.index - df.index.shift(1)

Then you can plot those:

times_gaps.plot()

If there are gaps, you will quicky see where. If there are no gap, you will see a straight horizontale line.

You can also select gaps times doing:

times_gaps[times_gaps> threshold]