Description Usage Arguments Value Author(s) References Examples
View source: R/TotalCommonCauseSigma.R
Function calculates the standard deviation in total and common cause periods
1 | TotalandCommonCauseSigma(Data)
|
Data |
subgroup summary (object type "SgpHist") |
Standard deviation in total and common cause periods
Nadeeka Premarathna
K. Govindaraju and A. Jonathan R. Godfrey. " Analysis of stock market volatility using Shewhart methodology." Total Quality Managment & Business Excellence 22 no. 4 (2011): 425-432.
1 2 3 4 5 6 7 8 9 | SubgroupCriteria="weeks"
data(AAPL)
require(zoo)
StockPrice=window(AAPL[,"Close"],start=as.Date("2012-01-02"),end=as.Date("2014-12-31"))
Subgroups=Subgrouping(StockPrice,SubgroupCriteria,CountSgps=1)
DataSum=SubgroupSummary(Subgroups,MaxSgpSize=5)
# partitioning data into common and special cause periods
PartitonedData=PartitioningSgps(DataSum,ChartType="S")
TCCSigmaVal=TotalandCommonCauseSigma(PartitonedData)
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.