timeSeries-package {timeSeries}

Utilities and tools package

Description

Package timeSeries is part of the Rmetrics suit of R packages. It provides a class, timeSeries, particularly aimed at analysis of financial data, along with many methods, functions, and utilities for statistical and financial computations on time series.

Details

The following sections have not been updated for some time.

timeSeries - S4 'timeSeries' Class

timeSeries	Creates a "timeSeries" from scratch
series, coredata	Extracts the data
getUnits	Extracts the time serie units
time	Extracts the positions of timestamps
x@format	Extracts the format of the timestamp
finCenter	Extracts the financial center
x@recordIDs	Extracts the record IDs
x@title	Extracts the title
x@documentation	Extracts the documentation

Base Time Series Functions

apply	Applies a function to blocks of a "timeSeries"
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"
end	Returns end date/time of a "timeSeries"
t	Returns the transpose of a "timeSeries" object
attach	Attaches a "timeSeries" to the search path

Subsetting 'timeSeries' Objects

[	Subsets a "timeSeries" object
[<-	Assigns values to a subset
$	Subsets a "timeSeries" by column names
$<-	Replaces subset by column names
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
interpNA	interpolates NAs using R's "approx" function

Mathematical Operation

Ops	S4: Arith method for a "timeSeries" object
Math	S4: Math method for a "timeSeries" object
Math2	S4: Maths 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
quantile	Returns quantiles of an univariate "timeSeries"

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
show	Prints a 'timeSeries oobject

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"
smoothLowess	Smoothes a "timeSeries"
smoothSpline	Smoothes a "timeSeries"
smoothSupsmu	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
turnsStats	Computes turning points statistics

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
smoothSpline	Smoothes a series with smooth.spline function

Misc Functions

dummyDailySeries	Creates a dummy daily "timeSeries" object
isMonthly	Decides if the series consists of monthly records
isDaily	Decides if the series consists of daily records
isQuarterly	Decides if the series consists of Quarterly records
description	Creates default description string

Author(s)

Diethelm Wuertz [aut] (original code), Tobias Setz [aut], Yohan Chalabi [aut], Martin Maechler [ctb] (<https://orcid.org/0000-0002-8685-9910>), Georgi N. Boshnakov [cre, aut]

Maintainer: Georgi N. Boshnakov <[e-mail]>