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Base R functions applied to 'timeSeries' objects

methods-stats.Rd

Many base R statistical functions work on (the data part of) timeSeries objects without the need for special methods, e.g., var, sd, cov, cor, probability densities, and others. This page gives some examples with such functions.

See also

colStats, colVars, and other colXXX functions

Examples

## Load Microsoft Data Set - 
   data(MSFT)
   X = MSFT[, 1:4]
   X = 100 * returns(X)

## Compute Covariance Matrix - 
   cov(X[, "Open"], X[, "Close"])
#>         Close
#> Open 5.370449
   cov(X)
#>            Open     High       Low     Close
#> Open  12.024989 7.717341  9.072359  5.370449
#> High   7.717341 8.566159  8.007279  7.931451
#> Low    9.072359 8.007279 10.543072  8.505720
#> Close  5.370449 7.931451  8.505720 11.676740

cor(X)   
#>            Open      High       Low     Close
#> Open  1.0000000 0.7603828 0.8057388 0.4532183
#> High  0.7603828 1.0000000 0.8425745 0.7930467
#> Low   0.8057388 0.8425745 1.0000000 0.7665963
#> Close 0.4532183 0.7930467 0.7665963 1.0000000