Package of time series tools and utilities.
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 |
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' |
.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 |
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 |
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 |
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 |
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 |
dummyDailySeries |
| Creates a dummy daily 'timeSeries' object |
isMonthly |
| Decides if the series consists of monthly records |
| Package: |
| timeSeries |
| Type: |
| Package |
| Version: |
| see description file |
| Date: |
| 2011 |
| License: |
| GPL Version 2 or later |
| Copyright: |
| (c) 1999-2014 Rmetrics Association |