timeSeries-package

0th

Percentile

Utilities and Tools Package

Package of time series tools and utilities.

Keywords
package
Details

Package:
timeSeries
Type:
Package
Version:
see description file
Date:
2011
License:
GPL Version 2 or later
Copyright:
(c) 1999-2014 Rmetrics Association

timeSeries - S4 timeSeries Class

timeSeries
Creates a 'timeSeries' from scratch
getDataPart, series
...
getUnits
Extracts the time serie units
getTime, time
Extracts the positions of timestamps
use: slot
Extracts the format of the timestamp
getFinCenter, finCenter
Extracts the financial center
use: slot
Extracts the record IDs
getTitle
Extracts the title

Base Time Series Functions

apply
Applies a function to blocks of a 'timeSeries'
attach
Attaches a 'timeSeries' to the search path
cbind
Combines columns of two 'timeSeries' objects
rbind
Combines rows of two 'timeSeries' objects
diff
Returns differences of a 'timeSeries' object
dim
returns dimensions of a 'timeSeries' object
merge
Merges two 'timeSeries' objects
rank
Returns sample ranks of a 'timeSeries' object
rev
Reverts a 'timeSeries' object
sample
Resamples a 'timeSeries' object
scale
Scales a 'timeSeries' object
sort
Sorts a 'timeSeries' object
start
Returns start date/time of a 'timeSeries'
end
Returns end date/time of a 'timeSeries'

Subsetting 'timeSeries' Objects

.subset_
Subsets 'timeSeries' objects
.findIndex
Index search in a 'timeSeries' object
[
Subsets a 'timeSeries' object
[<-]
Assigns values to a subset
$
Subsets a 'timeSeries' by column names
$<-
Replaces Subset by column names
t
Returns the transpose of a 'timeSeries'
head
Returns the head of a 'timeSeries'
tail
Returns the tail of a time Series
na.omit
Handles NAs in a timeSeries object
removeNA
removes NAs from a matrix object
substituteNA
substitutes NAs by zero, column mean or median

Mathematical Operation

Ops.timeSeries
S4: Arith method for a 'timeSeries' object
abs
Returns absolute values of a 'timeSeries' object
sqrt
Returns square root of a 'timeSeries' object
exp
Returns the exponential values of a 'timeSeries' object
log
Returns the logarithm of a 'timeSeries' object
sign
Returns the signs of a 'timeSeries' object
diff
Differences a 'timeSeries' object
scale
Centers and/or scales a 'timeSeries' object

Methods

as.timeSeries
Defines method for a 'timeSeries'
as.*.default
Returns the input
as.*.ts
Transforma a 'ts' object into a 'timeSeries'
as.*.data.frame
Transforms a 'data.frame' intp a 'timeSeries
as.*.character
Loads and transforms from a demo file
as.*.zoo
Transforms a 'zoo' object into a 'timeSeries'
as.vector.*
Converts univariate timeSeries to vector
as.matrix.*
Converts timeSeries to matrix
as.numeric.*
Converts timeSeries to numeric
as.data.frame.*
Converts timeSeries to data.frame
as.ts.*
Converts timeSeries to ts
as.logical.*
Converts timeSeries to logical
is.timeSeries
Tests for a 'timeSeries' object
plot
Displays a X-Y 'timeSeries' Plot
lines
Adds connected line segments to a plot
points
Adds Points to a plot

Financial time series functions

align
Aligns a 'timeSeries' to time stamps
cumulated
Computes cumulated series from a returns
alignDailySeries
Aligns a 'timeSeries' to calendarical dates
rollDailySeries
Rolls a 'timeSeries daily
drawdowns
Computes series of drawdowns from financial returns
drawdownsStats
Computes drawdowns statistics
durations
Computes durations from a financial time series
countMonthlyRecords
Counts monthly records in a 'timeSeries'
rollMonthlyWindows
Rolls Monthly windows
rollMonthlySeries
Rolls a 'timeSeries' monthly
endOfPeriodSeries
Returns end of periodical series
endOfPeriodStats
Returns end of period statistics
endOfPeriodBenchmarks
Returns period benchmarks
returns
Computes returns from prices or indexes
returns0
Computes untrimmed returns from prices or indexes
runlengths
Computes run lenghts of a 'timeSeries'
smooth
Smoothes a 'timeSeries'
splits
Detects 'timeSeries' splits by outlier detection
spreads
Computes spreads from a price/index stream
turns
Computes turning points in a 'timeSeries' object

Statistics Time Series functions

colCumsums
Computes cumulated column sums of a 'timeSeries'
colCummaxs
Computes cumulated maximum of a 'timeSeries'
colCummins
Computes cumulated minimum of a 'timeSeries'
colCumprods
Computes cumulated pruduct values by column
colCumreturns
Computes cumulated returns by column
colSums
Computes sums of all values in each column
colMeans
Computes means of all values in each column
colSds
Computes standard deviations of all values in each column
colVars
Computes variances of all values in each column
colSkewness
Computes skewness of all values in each column
colKurtosis
Computes kurtosis of all values in each column
colMaxs
Computes maxima of all values in each column
colMins
Computes minima of all values in each column
colProds
Computes products of all values in each column
colStats
Computes statistics of all values in each column
orderColnames
Returns ordered column names of a 'timeSeries'
sortColnames
Returns alphabetically sorted column names
sampleColnames
Returns sampled column names of a 'timeSeries'
pcaColnames
Returns PCA correlation ordered column names
hclustColnames
Returns hierarchically clustered columnames
statsColnames
Returns statisticall rearrange columnames
orderStatistics
Computes order statistics of a 'timeSeries' object
rollMean
Computes rolling means of a 'timeSeries' object
rollMin
Computes rolling minima of a 'timeSeries' object
rollMax
Computes rolling maxima of a 'timeSeries' object
rollMedian
Computes rolling medians of a 'timeSeries' object
rollStats
Computes rolling statistics of a 'timeSeries' objectcr
rowCumsums
Computes cumulated column sums of a 'timeSeries'
smoothLowess
Smoothes a series with lowess function
smoothSupsmu
Smoothes a series with supsmu function

Misc Functions

dummyDailySeries
Creates a dummy daily 'timeSeries' object
isMonthly
Decides if the series consists of monthly records

Aliases
  • timeSeries-package
Documentation reproduced from package timeSeries, version 3022.101.2, License: GPL (>= 2)

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