fAssets (version 3003.81-1)

assets-distance: Distance Measures

Description

Allows to measure the distance or similarity between assets.

Usage

assetsDist(x, method="cor", ...)
corDist(x)  
kendallDist(x) 
spearmanDist(x) 
  
mutinfoDist(x, nbin=10)
         
euclideanDist(x)    
maximumDist(x)      
manhattanDist(x)  
canberraDist(x)   
binaryDist(x)      
minkowskiDist(x) 
         
braycurtisDist(x)   
mahalanobisDist(x) 
jaccardDist(x)     
sorensenDist(x)

Arguments

x

any rectangular time series object which can be converted by the function dist() into a distance object.

method

a character string, the method from which to compute the distances. Allowed methods include cor, kendall, spearman, mutinfo, euclidean, maximum, m

nbin

an integer value, the number of bins, by default 10.

...

optional argument to be passed the distance function.

Value

• an object of class dist.

Details

corDist, kendallDist, and spearmanDist call the base cov function from R. mutinfoDist calls the function mutinfo from the contributed R package bioDist. euclideanDist, maximumDist, manhattanDist, canberraDist, binaryDist, and minkowskiDist are functions build on top of R's base package. braycurtisDist, mahalanobisDist, jaccardDist, and sorensenDist call functions from the contributed R package ecodist.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.

Examples

## LPP -
   # Load Swiss Pension Fund Data:
   LPP <- LPP2005REC[, 1:6]
   head(LPP)

## Returns correlation distance measure
   corDist(LPP)  
   
## Returns kendalls correlation distance measure  
   kendallDist(LPP) 
   
## Returns spearmans correlation distance measure
   spearmanDist(LPP)          

## Return mutual information distance measure
   mutinfoDist(LPP)             

## Return Euclidean distance measure
   euclideanDist(LPP)
   
## Return maximum distance measure
   maximumDist(LPP)              

## Return Manhattan distance measure  
   manhattanDist(LPP)            

## Return Canberra distance measure
   canberraDist(LPP)             

## Return binary distance measure
   binaryDist(LPP)               

## Return Minkowsky distance measure
   minkowskiDist(LPP)            

## Return Bray Curtis distance measure
   braycurtisDist(LPP)           
   
## Return Mahalanobis distance measure
   # mahalanobisDist(LPP)          
   
## Return Jaccard distance mesaure
   jaccardDist(LPP)         
   
## Return Sorensen distance measure
   sorensenDist(LPP)