TotalandCommonCauseSigma: Standard deviation in total and common cause periods

Description Usage Arguments Value Author(s) References Examples

View source: R/TotalCommonCauseSigma.R

Description

Function calculates the standard deviation in total and common cause periods

Usage

1

Arguments

Data

subgroup summary (object type "SgpHist")

Value

Standard deviation in total and common cause periods

Author(s)

Nadeeka Premarathna

References

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.

Examples

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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)

npremara/QCCTS documentation built on May 5, 2019, 3:51 a.m.