Sample ranks of a time series

Compute the sample ranks of the values of a 'timeSeries' object.

Usage

# S4 method for timeSeries
rank(x, na.last = TRUE, ties.method = )

Arguments

x

an univariate object of class timeSeries.

na.last

for controlling the treatment of NAs. If TRUE, missing values in the data are put last; if FALSE, they are put first; if NA, they are removed; if "keep" they are kept with rank NA.

ties.method

a character string specifying how ties are treated; can be abbreviated.

Details

If all components are different (and no NAs), the ranks are well defined, with values in seq_len(x). With some values equal (called ‘ties’), argument ties.method determines the result at the corresponding indices. The "first" method results a permutation with increasing values at each index set of ties. The "random" method puts these in random order, whereas the default, "average", replaces them by their mean, and "max" and "min" replace them with their maximum and minimum respectively, the latter being the typical sports ranking.

NA values are never considered to be equal: for na.last = TRUE and na.last = FALSE they are given distinct ranks in the order in which they occur in x.

Value

a "timeSeries" object

Examples

## Load Microsoft Data -
   X <- 100 * returns(MSFT)

## Compute the Ranks -
   head(rank(X[, "Open"]), 10)
#> GMT 
#>            Open
#> 2000-09-28   18
#> 2000-09-29  138
#> 2000-10-02  107
#> 2000-10-03   87
#> 2000-10-04    8
#> 2000-10-05   86
#> 2000-10-06  147
#> 2000-10-09  122
#> 2000-10-10   44
#> 2000-10-11  132
   
## Only Interested in the Vector, then use -
   head(rank(series(X[, "Open"])), 10)
#>  [1]  18 138 107  87   8  86 147 122  44 132