Package index • fBasics

Overview of package fBasics

fBasics-package fBasics: Portfolio modelling, optimization and backtesting
fBasicsData Capitalization cars2 DowJones30 HedgeFund msft.dat nyse PensionFund swissEconomy SWXLP usdthb: fBasics data sets

Tests

correlationTest() pearsonTest() kendallTest() spearmanTest(): Correlation tests
ksnormTest() jbTest() shapiroTest() normalTest() jarqueberaTest() dagoTest() adTest() cvmTest() lillieTest() pchiTest() sfTest(): Tests for normality
ks2Test(): Two sample Kolmogorov-Smirnov test
locationTest(): Two sample location tests
scaleTest(): Two sample scale tests
varianceTest(): Two sample variance tests
fHTEST-class fHTEST show,fHTEST-method: Class "fHTEST"

Other statistical functions

pdl(): Polynomial distributed lags
basicStats(): Basic time series statistics
dmaxdd() pmaxdd() rmaxdd() maxddStats(): Drawdown statistics
rowStats() rowSds() rowVars() rowSkewness() rowKurtosis() rowMaxs() rowMins() rowProds() rowQuantiles() rowStdevs() rowAvgs(): Row statistics
normMED() normIQR() normSKEW() normKURT(): Robust moments for the Normal distribution
sampleMED() sampleIQR() sampleSKEW() sampleKURT(): Robust moments for the GLD
sampleLmoments(): Sample L-moments
set.lcgseed() get.lcgseed() runif.lcg() rnorm.lcg() rt.lcg(): Generator for Portable random innovations
volatility(): Compute volatility

Distributions and distribution fitting

nFit() tFit() stableFit(): Fit normal, Student-t and stable distributions
fDISTFIT-class show,fDISTFIT-method: Class "fDISTFIT"
distCheck(): Distribution check

Hyperbolic Distribution

dhyp() phyp() qhyp() rhyp(): Hyperbolic distribution
hypFit(): Fit a hyperbolic distribution
hypMode(): Hyperbolic mode
hypMean() hypVar() hypSkew() hypKurt() hypMoments(): Hyperbolic distribution moments
hypMED() hypIQR() hypSKEW() hypKURT(): Robust moments for the HYP
hypSlider(): Hyperbolic distribution slider

Generalized Hyperbolic Distribution

dgh() pgh() qgh() rgh(): Generalized Hyperbolic Distribution
ghFit(): GH Distribution Fit
ghMode(): Generalized Hyperbolic Mode
ghMean() ghVar() ghSkew() ghKurt() ghMoments(): Generalized Hyperbolic Distribution Moments
ghMED() ghIQR() ghSKEW() ghKURT(): Robust Moments for the GH
ghSlider(): Generalized Hyperbolic Distribution Slider

Generalized Hyperbolic Student-t

dght() pght() qght() rght(): Generalized Hyperbolic Student-t distribution
ghtFit(): GHT distribution fit
ghtMode(): Generalized Hyperbolic Student-t Mode
ghtMean() ghtVar() ghtSkew() ghtKurt() ghtMoments(): Generalized Hyperbolic Student-t Moments
ghtMED() ghtIQR() ghtSKEW() ghtKURT(): Robust Moments for the GHT

Generalized Lambda Distribution

dgld() pgld() qgld() rgld(): Generalized Lambda Distribution
gldFit(): GH Distribution Fit
gldMode(): Generalized Lambda Distribution Mode
gldMED() gldIQR() gldSKEW() gldKURT(): Robust Moments for the GLD

Normal Inverse Gaussian Distribution

dnig() pnig() qnig() rnig(): Normal Inverse Gaussian Distribution
nigFit(): Fit of a Normal Inverse Gaussian Distribution
nigMode(): Normal Inverse Gaussian Mode
nigMean() nigVar() nigSkew() nigKurt(): Moments for the Normal Inverse Gaussian
nigMED() nigIQR() nigSKEW() nigKURT(): Robust Moments for the NIG
nigShapeTriangle(): NIG Shape Triangle
nigSlider(): nigerbolic Distribution Slider

Standardized distributions

dsgh() psgh() qsgh() rsgh(): Standardized Generalized Hyperbolic Distribution
sghFit(): Standardized GH distribution fit
dsght() psght() qsght() rsght(): Standardized generalized hyperbolic Student-t Distribution
dsnig() psnig() qsnig() rsnig(): Standardized Normal Inverse Gaussian Distribution
snigFit(): Fit of a Standardized NIG Distribution

Spline smoothed distribution

dssd() pssd() qssd() rssd(): Spline Smoothed Distribution
ssdFit(): Fit density using smoothing splines

Vector and matrix utilities

colVec() rowVec(): Column and row vectors
gridVector(): Grid vector coordinates
hilbert(): Hilbert matrix
inv(): The inverse of a matrix
kron(): Kronecker product
norm2(): Matrix norm
pascal(): Pascal matrix
isPositiveDefinite() makePositiveDefinite(): Positive definite matrices
rk(): The rank of a matrix
tr(): Trace of a matrix
triang() Triang(): Upper and lower triangular matrices
tslag(): Lagged or leading vector/matrix
vec() vech(): Stacking vectors and matrices

Plotting

acfPlot() pacfPlot() lacfPlot() teffectPlot(): Autocorrelation function plots
boxPlot() boxPercentilePlot(): Time series box plots
histPlot() densityPlot() logDensityPlot(): Histogram and density plots
qqnormPlot() qqnigPlot() qqghtPlot() qqgldPlot(): Quantile-quantile plots
returnSeriesGUI(): Return series plots
scalinglawPlot(): Scaling law behaviour
seriesPlot() cumulatedPlot() returnPlot() drawdownPlot(): Financial time series plots
stableSlider(): Slider GUI for Stable Distribution
interactivePlot(): Interactive Plot Utility

Interpolation

linearInterp() linearInterpp(): Bivariate Linear Interpolation
krigeInterp(): Bivariate Krige Interpolation
akimaInterp() akimaInterpp(): Bivariate Spline Interpolation

Special functions

Heaviside() Sign() Delta() Boxcar() Ramp(): Heaviside and related functions
tsHessian(): Two sided approximated Hessian

Colour

colorLocator() colorMatrix(): Named colors in R
rainbowPalette() heatPalette() terrainPalette() topoPalette() cmPalette() greyPalette() timPalette() rampPalette() seqPalette() divPalette() qualiPalette() focusPalette() monoPalette(): Color palettes
characterTable(): Table of characters
colorTable(): Table of colors
symbolTable(): Table of symbols
decor() hgrid() vgrid() boxL() box_() copyright(): Functions for decorating plots

S4 utilities

getModel() getTitle() getDescription() getSlot() getArgs(): General S4 Class Extractor Functions

Package utilities

listFunctions() countFunctions() listIndex(): List exported functions in a package
print(<control>): Print control

Deprecated functions

fBasics-deprecated .acfPlot .contourPlot .distCheck .firePlot .mrlPlot .pacfPlot .perspPlot .plot .predict .qStableFit .residualsPlot .responsesPlot .sliderMenu .unirootNA: Deprecated functions in package fBasics

Reexported functions

The following functions are re-exported from packages ‘timeDate’ and ‘timeSeries’, for convenience. If you need more functionality from those packages, run ‘library()’ in your session.

as.timeSeries kurtosis skewness: Objects exported from other packages

Unclassified

TODO: these are generic functions for the corresponding base R ones (which serve as default methods). Seem abandoned. Remove?

stdev(<default>) termPlot(<default>): Generic functions extensions

S+ compatibility

colIds() rowIds(): Set and retrieve column/row names