statistics-smoothLowess: Smooths time series objects

In timeSeries: Financial Time Series Objects (Rmetrics)

Smooths time series objects

Description

Smooths a "timeSeries" object.

Usage

smoothLowess(x, f = 0.5, ...)
smoothSpline(x, spar = NULL, ...)
smoothSupsmu(x, bass = 5, ...)

Arguments

x	an univariate "timeSeries" object.
f	the lowess smoother span. This gives the proportion of points in the plot which influence the smooth at each value. Larger values give more smoothness.
spar	smoothing parameter, typically (but not necessarily) in (0,1]. By default NULL, i.e. the value will be automatically selected.
bass	controls the smoothness of the fitted curve. Values of up to 10 indicate increasing smoothness.
...	optional arguments to be passed to the underlying smoothers.

Details

The functions smoothLowess, smoothSpline, smoothSupsmu allow to smooth timeSerie object. The are interfaces to the function lowess, supmsu. and smooth.spline in R's stats package.

The ... arguments allow to pass optional arguments to the underlying stats functions and tailor the smoothing process. We refer to the manual pages of these functions for a proper setting of these options.

Value

a bivariate "timeSeries" object, the first column holds the original time series data, the second the smoothed series.

Author(s)

The R core team for the underlying smoother functions.

Examples

## Use Close from MSFT's Price Series  - 
   head(MSFT)
   MSFT.CLOSE <- MSFT[, "Close"]
   head(MSFT.CLOSE)
   
## Plot Original and Smoothed Series by Lowess - 
   MSFT.LOWESS <- smoothLowess(MSFT.CLOSE, f = 0.1)
   head(MSFT.LOWESS)
   plot(MSFT.LOWESS)
   title(main = "Close - Lowess Smoothed")
   
## Plot Original and Smoothed Series by Splines - 
   MSFT.SPLINE <- smoothSpline(MSFT.CLOSE, spar = 0.4)
   head(MSFT.SPLINE)
   plot(MSFT.SPLINE)
   title(main = "Close - Spline Smoothed")
   
## Plot Original and Smoothed Series by Supsmu - 
   MSFT.SUPSMU <- smoothSupsmu(MSFT.CLOSE)
   head(MSFT.SUPSMU)
   plot(MSFT.SUPSMU)
   title(main = "Close - Spline Smoothed")

timeSeries documentation built on Jan. 13, 2024, 8:16 p.m.