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.
Author
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 <georgi.boshnakov@manchester.ac.uk>
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
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
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