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