splits
From timeSeries v3022.101.2
by Tobias Setz
splits
Searches for outlier splits in a 'timeSeries' object.
Usage
splits(x, sd = 3, complement = TRUE, ...)Arguments
- x
- a 'timeSeries' object.
- sd
- 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.
- complement
- a logical flag, should the outlier series or its complements be returned?
- ...
- arguments to be passed.
Details
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.
Examples
library(timeSeries)
## Create a Return Series with a Split -
data <- runif(12, -1, 1)
data[6] <- 20
x <- timeSeries(data, timeCalendar(), units="RUNIF")
x
## Search for the Split:
splits(x, sd=3, complement=TRUE)
splits(x, sd=3, complement=FALSE)
Community examples
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