00timeSeries-package: Utilities and tools package

timeSeries-packageR Documentation

Utilities and tools package


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.


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"
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"


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

align Aligns a "timeSeries" to time stamps
cumulated Computes cumulated series from a returns
alignDailySeries Aligns a "timeSeries" to calendarical dates
rollDailySeries Rolls a 'timeSeries daily
drawdowns Computes series of drawdowns from financial returns
drawdownsStats Computes drawdowns statistics
durations Computes durations from a financial time series
countMonthlyRecords Counts monthly records in a "timeSeries"
rollMonthlyWindows Rolls Monthly windows
rollMonthlySeries Rolls a "timeSeries" monthly
endOfPeriodSeries Returns end of periodical series
endOfPeriodStats Returns end of period statistics
endOfPeriodBenchmarks Returns period benchmarks
returns Computes returns from prices or indexes
returns0 Computes untrimmed returns from prices or indexes
runlengths Computes run lenghts of a "timeSeries"
smoothLowess Smoothes a "timeSeries"
smoothSpline Smoothes a "timeSeries"
smoothSupsmu Smoothes a "timeSeries"
splits Detects "timeSeries" splits by outlier detection
spreads Computes spreads from a price/index stream
turns Computes turning points in a "timeSeries" object
turnsStats Computes turning points statistics

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


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>

timeSeries documentation built on Aug. 26, 2023, 5:08 p.m.