Searches for outlier splits in a 'timeSeries' object.
splits(x, sd = 3, complement = TRUE, ...)
- a 'timeSeries' object.
- a numeric value of standard deviations, e.g. 5 means that values larger or smaller than five times the standard deviation of the series will be detected.
- a logical flag, should the outlier series or its complements be returned?
- arguments to be passed.
This function is thought to find splits in financial price or index series If a price or index is splitted we observe in the returns a big jump of several standard deviations which is identified usual as an outlier.
## Create a Return Series with a Split - data <- runif(12, -1, 1) data <- 20 x <- timeSeries(data, timeCalendar(), units="RUNIF") x ## Search for the Split: splits(x, sd=3, complement=TRUE) splits(x, sd=3, complement=FALSE)