| TimeSeriesData {fCalendar} | R Documentation |
A collection and description of functions
and methods dealing with regular and irregular
'timeSeries' objects. Dates and times are
implemented as 'timeDate' objects. Included
are functions and methods for the generation
and representation of 'timeSeries' objects,
and for mathematical operations.
Functions and methods to modify 'timeSeries' objects:
diff | Takes differences from a 'timeSeries' object, |
lag | Lags a 'timeSeries' object, |
merge | Merges two 'timeSeries' objects, |
rbinds | Binds rows of two 'timeSeries' objects, |
cumsum | Returns the cumulated sum of a 'timeSeries' object, |
lag | Scales and centers a 'timeSeries' object. |
Functions and methods for classifying 'timeSeries' objects:
var | Computes Variance from a 'timeSeries' object. |
Functions and methods for mathematical operations on 'timeSeries' objects:
Ops.timeSeries | S3: Arith 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, |
quantile.timeSeries | Computes quantiles of a 'timeSeries' object. |
Functions and methods for subsetting 'timeSeries' objects:
"[" | "[" method for a 'timeSeries' object, |
cut | Cuts a block from a 'timeSeries' object, |
head | Returns the head of a 'timeSeries' object, |
tail | Returns the tail of a 'timeSeries' object, |
outliers | Removes outliers from a 'timeSeries' object. |
Functions and methods for dimensional operations on 'timeSeries' objects:
dim | Returns the dimension of a 'timeSeries' object, |
dimnames | Returns the dimension names of a 'timeSeries' object, |
colnames<- | Assigns column names to a 'timeSeries' object, |
rownames<- | Assigns row names to a 'timeSeries' object, |
is.array | Allows that NCOL and NROW work properly. |
## S3 method for class 'timeSeries':
diff(x, lag = 1, diff = 1, trim = FALSE, pad = NA, ...)
## S3 method for class 'timeSeries':
lag(x, k = 1, trim = FALSE, units = NULL, ...)
## S3 method for class 'timeSeries':
merge(x, y, units = NULL, ...)
## S3 method for class 'timeSeries':
rbind(x, y)
## S3 method for class 'timeSeries':
cumsum(x)
## S3 method for class 'timeSeries':
scale(x, center = TRUE, scale = TRUE)
## S3 method for class 'timeSeries':
var(x, y = NULL, na.rm = FALSE, use)
## S3 method for class 'timeSeries':
Ops(e1, e2)
## S3 method for class 'timeSeries':
abs(x)
## S3 method for class 'timeSeries':
sqrt(x)
## S3 method for class 'timeSeries':
exp(x)
## S3 method for class 'timeSeries':
log(x, base = exp(1))
## S3 method for class 'timeSeries':
sign(x)
## S3 method for class 'timeSeries':
quantile(x, probs = 0.95, ...)
## S3 method for class 'timeSeries':
x[i = min(1, nrow(x@Data]):nrow(x@Data),
j = min(1, ncol(x@Data)):ncol(x@Data))
## S3 method for class 'timeSeries':
cut(x, from, to, ...)
## S3 method for class 'timeSeries':
head(x, n = 6, recordIDs = FALSE, ...)
## S3 method for class 'timeSeries':
tail(x, n = 6, recordIDs = FALSE, ...)
## S3 method for class 'timeSeries':
outlier(x, sd = 10, complement = TRUE, ...)
## S3 method for class 'timeSeries':
dim(x)
## S3 method for class 'timeSeries':
dimnames(x)
colnames<-.timeSeries(x) <- value
rownames<-.timeSeries(x) <- value
## S3 method for class 'timeSeries':
is.array(x)
base |
[log] - a positive number. The base with respect to which logarithms are computed. Defaults to e=exp(1).
|
center, scale |
[scale] - either a logical value or a numeric vector of length equal to the number of columns of x.
|
complement |
[outlierSeries] - a logical flag, should the outler series or its complement be returns, by default TRUE
which returns the series free of outliers.
|
diff |
[diffSeries] - an integer indicating the order of the difference. By default 1. |
dimnames |
[as.timeSeries] - a logical, if TRUE the dimension names of the
matrix are assigned to the time series object.
|
e1, e2 |
[Ops] - two objects of class timeSeries.
|
from, to |
starting date and end date, to must be after from.
|
i, j |
["["] - index arguments used for subsettings. |
k |
[lagSeries] - an integer value. The number of lags (in units of observations). By default 1. |
lag |
[diffSeries] - an integer indicating which lag to use. By default 1. |
method |
[alignDailySeries] - the method to be used for the alignment. A character string, one of "before", use the data from the row whose position is
just before the unmatched position, or "after", use the
data from the row whose position is just after the unmatched
position, or "linear", interpolate linearly between
"before" and "after".
|
n |
[head][tail] - an integer specifying the number of lines to be returned. By default n=6.
|
na.rm |
[var] - a logical flag. Should missing values be removed? By default FALSE.
|
pad |
[diffSeries] - which value should get the padded values? By default NA.
Another choice often used would be zero.
|
probs |
a numeric value or numeric vector of probabilities with values
in [0,1].
|
recordIDs |
[head][tail] - a logical value. Should the recordIDs returned together
with the data matrix and time series positions?
|
sd |
[outlierSeries] - a numeric value of standard deviations, e.g. 10 means that values larger or smaller tahn ten times the standard deviation will be removed from the series. |
trim |
[diffSeries][returnSeries] - a logical value. By default TRUE, the first missing
observation in the return series will be removed.
|
units |
[applySeries][lag][alignDailySeries][returnSeries][mergeSeries] - an optional character string, which allows to overwrite the current column names of a timeSeries object. By default
NULL which means that the column names are selected
automatically.
[ohlcDailyPlot] - a numeric value, specifying in which multiples the volume should be referenced on the plot labels. By default 1e6, i.e. in units of 1 Million. |
use |
[var] - an optional character string giving a method for computing covariances in the presence of missing values. This must be (an abbreviation of) one of the strings "all.obs",
"complete.obs" or "pairwise.complete.obs".
|
value |
[colnames<-][rownames<-] - a valid value for column names component of dimnames(x).
For a "timeSeries" object this is either NULL or a
character vector of length the column dimension. Not, row names
cannot be assigne for a "timeSeries" object, the function
rownames() will stop and return an error message.
|
x |
[as] - a matrix type object to be converted.[as.vector][as.matrix][as.data.frame] - [applySeries] - [cut][end][mergeSeries][plot][print][rev][start] - an object of class timeSeries.
|
y |
[mergeSeries][var] - a matrix type object to be merged with an object of
class timeSeries. Must have the same number of rows.
|
... |
arguments passed to other methods. |
Generation of Time Series Objects:
We have defined a timeSeries class which is in many aspects similar
to the S-Plus class with the same name, but has also some important
differences. The class has seven Slots, the 'Data' slot which holds
the time series data in matrix form, the 'position' slot which holds
the time/date as a character vector, the 'format' and 'FinCenter'
slots which are the same as for the 'timeDate' object, the 'units'
slot which holds the column names of the data matrix, and a 'title'
and a 'documentation' slot which hold descriptive character strings.
Date and time is managed in the same way as for timeDate objects.
timeSeries
read.timeSeries
as.timeSeries
return a S4 object of class timeSeries.
seriesData
seriesPositions
extract the @Data and @position slots from a
timeSeries object. Thus, seriesData returns an
object of class matrix, and seriesPositions
returns an object of class timeDate.
is.timeSeries
returns TRUE or FALSE depending on whether its
argument is of timeSeries type or not.
aggregateSeries
applySeries
cutSeries
mergeSeries
returnSeries
revSeries
return a S4 object of class timeSeries.
end, start
return a S4 object of class timedate. These are the
start and end dates of a timeSeries object.
as.vector
as.matrix
as.data.frame
these are methods which convert a S4 object of class timeSeries
either to a vector, a matrix or to a data frame.
plot
lines
points
print
plot and print methods for an object of class timeSeries.
Note that the plot function requires the packages its and
Hmisc.
These functions were written for Rmetrics users using R and Rmetrics under Microsoft's Windows operating system where timze zones, daylight saving times and holiday calendars are insuffeciently supported.
Diethelm Wuertz for the Rmetrics R-port.
## SOURCE("fCalendar.4B-TimeSeriesData")
## data -
# Create an artificial timeSeries object:
myFinCenter <<- "GMT"
charvec = timeCalendar()
set.seed(4711)
data = matrix(exp(cumsum(rnorm(12, sd = 0.1))))
TS = timeSeries(data, charvec, units = "TS")
TS
par(ask = FALSE)
plot(TS, type = "o", pch = 19)
## diff | scale -
# Difference and scale the timeSeries Object:
scale(diff(TS, lag = 2, trim = TRUE))
## lag -
# Lag the timeSeries Object:
lag(TS, k = -1:1)
## merge -
# Merge two timeSeries Object:
merge(TS, diff(log(TS), units = c("ts", "diffLog")))
## var -
# Variance of a timeSeries Object:
var(returnSeries(TS, percentage = TRUE))
## Ops | +/- * ^ ...
# Mathematical Operations:
TS^2
TS[2:4]
OR = returnSeries(TS)
OR
OR > 0
quantile(OR, probs = c(0.90, 0.95))