Function reference • timeSeries

Overview of package timeSeries

timeSeries-package: Utilities and tools package

TimeSeriesData LPP2005REC MSFT USDCHF: Time series data sets

Create ‘timeSeries’ objects

timeSeries(): Create objects from class 'timeSeries'

readSeries(): Read a 'timeSeries' from a text file

dummyDailySeries() dummyMonthlySeries(): Create dummy time series

as.timeSeries() as.ts(<timeSeries>) as.matrix(<timeSeries>) as.data.frame(<timeSeries>) as.list(<timeSeries>): Convert objects to/from class 'timeSeries'

Explore ‘timeSeries’ objects

plot(<timeSeries>) lines(<timeSeries>) points(<timeSeries>) pretty(<timeSeries>): Plot 'timeSeries' objects

show(<timeSeries>) print(<timeSeries>): Print 'timeSeries' objects

str(<timeSeries>): Display the structure of 'timeSeries' objects

is.timeSeries() is.signalSeries(): Check if an object is from class 'timeSeries'

isUnivariate() isMultivariate(): Checks if a time series is univariate

isDaily(<timeSeries>) isMonthly(<timeSeries>) isQuarterly(<timeSeries>) isRegular(<timeSeries>) frequency(<timeSeries>): Checks if a time series is regular

na.contiguous(<timeSeries>) is.na(<timeSeries>): Find longest contiguous stretch of non-NAs or check for NAs

sort(<timeSeries>) is.unsorted(<timeSeries>): Sort a 'timeSeries' by time stamps

Subset ‘timeSeries’ objects

There are ‘timeSeries’ methods for subsetting operators, like ‘[’ and ‘[<-’, as well as functions and methods which broadly perform some kind of subsetting.

window(<timeSeries>): Methods for 'window' in package 'timeSeries'

head(<timeSeries>) tail(<timeSeries>) outlier(): Subsetting time series

na.contiguous(<timeSeries>) is.na(<timeSeries>): Find longest contiguous stretch of non-NAs or check for NAs

na.omit(<timeSeries>): Handle missing values in 'timeSeries' objects

removeNA() substituteNA() interpNA(): Deprecated functions in 'timeSeries' package

endOfPeriodSeries() endOfPeriodStats() endOfPeriodBenchmarks(): End-of-Period series, stats, and benchmarks

Aggregate and smooth ‘timeSeries’ objects

filter(<timeSeries>): Linear filtering on a time series

smoothLowess() smoothSpline() smoothSupsmu(): Smooths time series objects

aggregate(<timeSeries>): Aggregate time series

align(<timeSeries>) alignDailySeries() daily2monthly() daily2weekly(): Align a 'timeSeries' object to equidistant time stamps

apply(<timeSeries>) fapply() applySeries() rollDailySeries(): Apply functions over time windows

rollMonthlyWindows() rollMonthlySeries() countMonthlyRecords(): Special monthly series

Manipulate ‘timeSeries’ objects

series() `series<-`(): Get and set the data component of a 'timeSeries'

finCenter(<timeSeries>) `finCenter<-`(<timeSeries>) getFinCenter() `setFinCenter<-`(): Get and set Financial center of a 'timeSeries'

time(<timeSeries>) `time<-`(<timeSeries>) getTime() `setTime<-`(): Get and set time stamps of a 'timeSeries'

getUnits() `setUnits<-`(): Get and set unit names of a 'timeSeries'

start(<timeSeries>) end(<timeSeries>): Start and end of a 'timeSeries'

getAttributes() `setAttributes<-`(): Get and set optional attributes of a 'timeSeries'

comment(<timeSeries>) `comment<-`(<timeSeries>): Get and set comments for 'timeSeries' objects

orderColnames() sortColnames() sampleColnames() statsColnames() pcaColnames() hclustColnames(): Reorder column names of a time series

Transform ‘timeSeries’ objects

scale(<timeSeries>): Center and scale 'timeSeries' objects

diff(<timeSeries>): Difference a 'timeSeries' object

colCumsums(<timeSeries>) colCummaxs(<timeSeries>) colCummins(<timeSeries>) colCumprods(<timeSeries>) colCumreturns(<timeSeries>): Cumulated column statistics

rowCumsums(<ANY>) rowCumsums(<timeSeries>): Cumulative row statistics

lag(<timeSeries>): Lag a 'timeSeries' object

sort(<timeSeries>) is.unsorted(<timeSeries>): Sort a 'timeSeries' by time stamps

rev(<timeSeries>): Reverse a 'timeSeries'

runlengths(): Runlengths of a time series

durations(): Durations from a 'timeSeries'

rank(<timeSeries>): Sample ranks of a time series

sample(<timeSeries>): Resample 'timeSeries' objects

Ops(<timeSeries>,<timeSeries>) Math(<timeSeries>) Math2(<timeSeries>) quantile(<timeSeries>) median(<timeSeries>): Mathematical operations on 'timeSeries'

Financial computations on ‘timeSeries’ objects

returns() returns0(): Financial returns

cumulated(): Cumulated time series from returns

drawdowns() drawdownsStats(): Calculations of drawdowns

splits(): splits

spreads() midquotes(): Spreads and mid quotes

index2wealth(): Conversion of an index to wealth

Compute statistics on timeSeries objects

sd-methods var-methods cov-methods cor-methods: Base R functions applied to 'timeSeries' objects

colStats() colSds() colVars() colSkewness() colKurtosis() colMaxs() colMins() colProds() colQuantiles(): Column statistics

turns() turnsStats(): Turning points of a time series

orderStatistics(): Order statistics

rollStats() rollMean() rollMin() rollMax() rollMedian(): Rolling statistics

Combine time series

cbind(<timeSeries>) rbind(<timeSeries>) cbind2(<timeSeries>,<ANY>) rbind2(<timeSeries>,<ANY>): Bind 'timeSeries' objects by column or row

merge(): Merge 'timeSeries' objects

Mathematical operations on ‘timeSeries’

Ops(<timeSeries>,<timeSeries>) Math(<timeSeries>) Math2(<timeSeries>) quantile(<timeSeries>) median(<timeSeries>): Mathematical operations on 'timeSeries'

t(<timeSeries>): Transpose 'timeSeries' objects

Other

timeSeries-class initialize,timeSeries-method: Class 'timeSeries' in package timeSeries

dim,timeSeries-method dim dimnames,timeSeries-method dimnames colnames colnames,timeSeries-method rownames,timeSeries-method rownames rownames names,timeSeries-method names: Dimension and their names for 'timeSeries' objects

getDataPart,timeSeries-method setDataPart,timeSeries-method: DataPart,timeSeries-method

description(): Creates date and user information

attach(<timeSeries>): Attach a 'timeSeries' to the search path

.colorwheelPalette(): Exported internal functions