Package ‘timeSeries’

January 24, 2020

Title Financial Time Series Objects (Rmetrics)
Date 2020-01-24
Version 3062.100
Description 'S4' classes and various tools for financial time series:
Basic functions such as scaling and sorting, subsetting,
mathematical operations and statistical functions.
Depends R (>= 2.10), graphics, grDevices, stats, methods, utils,
timeDate (>= 2150.95)
Suggests RUnit, robustbase, xts, PerformanceAnalytics, fTrading
LazyData yes
License GPL (>= 2)
URL https://r-forge.r-project.org/scm/viewvc.php/pkg/timeSeries/?root=rmetrics,
http://www.rmetrics.org
NeedsCompilation no
Author Diethelm Wuertz [aut] (original code),
Tobias Setz [cre],
Yohan Chalabi [ctb],
Martin Maechler [ctb] (<https://orcid.org/0000-0002-8685-9910>)
Maintainer Tobias Setz <tobias.setz@live.com>
Repository CRAN
Date/Publication 2020-01-24 17:35:15 UTC

R topics documented:
timeSeries-package . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
aggregate-methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
align-methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
apply . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
as . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
attach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
attributes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

1
2 R topics documented:

base-methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
bind . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
colCum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
colStats . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
comment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
cumulated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
DataPart,timeSeries-method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
description . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
diff . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
dimnames . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
drawdowns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
durations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
filter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
finCenter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
is.timeSeries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
isRegular . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
isUnivariate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
lag . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
math . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
merge . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
model.frame . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
monthly . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
na . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
na.contiguous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
orderColnames . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
orderStatistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
periodical . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
plot-methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
print-methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
rank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
readSeries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
returns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
rev . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
rollMean . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
rowCum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
runlengths . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
sample . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
scale . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
series-methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
smooth . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
sort . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
SpecialDailySeries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
splits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
spreads . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
start . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
str-methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
t . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
time . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
timeSeries-package 3

timeSeries-deprecated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
timeSeries-method-stats . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
TimeSeriesClass . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
TimeSeriesData . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
TimeSeriesSubsettings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
turns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
units . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
wealth . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
window . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72

Index 73

timeSeries-package Utilities and Tools Package

Description
Package of time series tools and utilities.

Details

Package: timeSeries
Type: Package
Version: see description file
Date: 2011
License: GPL Version 2 or later
Copyright: (c) 1999-2014 Rmetrics Association
URL: http://www.rmetrics.org

timeSeries - S4 timeSeries Class

timeSeries Creates a ’timeSeries’ from scratch

getDataPart, series ...
getUnits Extracts the time serie units
getTime, time Extracts the positions of timestamps
use: slot Extracts the format of the timestamp
getFinCenter, finCenter Extracts the financial center
use: slot Extracts the record IDs
getTitle Extracts the title
use: slot Extracts the documentation

Base Time Series Functions

4 timeSeries-package

apply Applies a function to blocks of a ’timeSeries’

attach Attaches a ’timeSeries’ to the search path
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

Subsetting ’timeSeries’ Objects

.subset_ Subsets ’timeSeries’ objects

.findIndex Index search in a ’timeSeries’ object
[ Subsets a ’timeSeries’ object
[<-] Assigns values to a subset
$ Subsets a ’timeSeries’ by column names
$<- Replaces Subset by column names
t Returns the transpose of a ’timeSeries’
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.timeSeries S4: 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
diff Differences a ’timeSeries’ object
scale Centers and/or scales a ’timeSeries’ object
quantile Returns quantiles of an univariate ’timeSeries’
timeSeries-package 5

Methods

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’
smooth 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
6 timeSeries-package

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
getArgs Extracts arguments from a S4 method
aggregate-methods 7

aggregate-methods timeSeries Class, Functions and Methods

Description
Aggregates a ’timeSeries’ Object.

Usage
## S4 method for signature 'timeSeries'
aggregate(x, by, FUN, ...)

daily2monthly(x, init=FALSE)
daily2weekly(x, startOn="Tue", init=FALSE)

Arguments
x an object of class ’timeSeries’.
by a sequence of timeDate objects denoting the aggregation period.
FUN the function to be applied.
startOn a string value, specifying the day of week as a three letter abbreviation. Weekly
aggregated data records are then fixed to the weekdays given by the argument
startOn.
init a logical value, if set to TRUE then the time series will be indexed to 1 for its first
value. By default init is set to FALSE.
... arguments passed to other methods.

Details
The function aggregate is a function which can aggregate time series on general aggregation peri-
ods.
In addition there are two tailored function for simple usage: Function daily2monthly and daily2weekly
which allow to aggregate ’timeSeries’ objects from daily to monthly or weekly levels, respectively.
In the case of the function daily2weekly one can explicitely the starting day of the week, the
default value is Tuesday, startOn="Tue".

Value
aggregate returns an aggregated S4 object of class timeSeries.
daily2monthly returns an aggregated monthly object of class timeSeries.
daily2weekly returns an aggregated weekly object of class timeSeries starting on the specified
day of week.
8 align-methods

Examples
## Load Microsoft Data Set -
x <- MSFT

## Aggregate by Weeks -
by <- timeSequence(from = start(x), to = end(x), by = "week")
aggregate(x, by, mean)

## Aggregate to Last Friday of Month -

by <- unique(timeLastNdayInMonth(time(x), 5))
X <- aggregate(x, by, mean)
X
dayOfWeek(time(X))
isMonthly(X)

## Aggregate to Last Day of Quarter -

by <- unique(timeLastDayInQuarter(time(x)))
X <- aggregate(x, by, mean)
X
isQuarterly(X)

## Aggregate daily records to end of month records -

X <- daily2monthly(x)
X
isMonthly(X)

## Aggregate da, ily records to end of week records -

X <- daily2weekly(x, startOn="Fri")
X
dayOfWeek(time(X))

align-methods timeSeries Class, Functions and Methods

Description

Aligns a ’timeSeries’ Object.

Usage

## S4 method for signature 'timeSeries'

align(x, by = "1d", offset = "0s",
method = c("before", "after", "interp", "fillNA",
"fmm", "periodic", "natural", "monoH.FC"),
include.weekends = FALSE, ...)
apply 9

Arguments
x an object of class timeSeries.
by a character string denoting the period
offset a character string denoting the offset
method a character string denoting the alignment approach.
include.weekends
a logical flag, should weekend be included.
... Further arguments to be passed to the interpolating function.

Value
Returns an aligned S4 ’timeSeries’ object.

Examples
## Use MSFT and Compute Sample Size -
dim(MSFT)

## Align the Series -

MSFT.AL <- align(MSFT)

## Show the Size of the Aligned Series -

dim(MSFT.AL)

apply Apply Functions Over Time Series Periods

Description
Applies a function to a ’timeSeries’ object over time peridos of arbitrary positons and lengths.

Usage
fapply(x, from, to, FUN, ...)

applySeries(x, from = NULL, to = NULL, by = c("monthly", "quarterly"),

FUN = colMeans, units = NULL, format = x@format, zone = x@FinCenter,
FinCenter = x@FinCenter, recordIDs = data.frame(), title = x@title,
documentation = x@documentation, ...)

Arguments
x an object of class timeSeries.
from, to starting date and end date as timeDate objects. Note, to must be time ordered
after from. If from and to are missing in function fapply they are set by default
to from=start(x), and to=end(x).
10 apply

FUN the function to be applied. For the function applySeries the default setting is
FUN=colMeans.
by a character value either "monthly" or "quarterly" used in the function applySeries.
The default value is "monthly". Only operative when both arguments from and
to have their default values NULL. In this case the function FUN will be applied
to monthly or quarterly periods.
units 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.
format the format specification of the input character vector in POSIX notation.
zone the time zone or financial center where the data were recorded.
FinCenter a character value with the the location of the financial center named as "conti-
nent/city", or "city".
recordIDs a data frame which can be used for record identification information. Note, this
is not yet handled by the apply functions, an empty data.frame will be returned.
title an optional title string, if not specified the inputs data name is deparsed.
documentation optional documentation string, or a vector of character strings.
... arguments passed to other methods.

Details
Like apply applies a function to the margins of an array, the function fapply applies a function to
the time stamps or signal counts of a financial (therefore the "f" in front of the function name) time
series of class 'timeSeries'.
The function fapply inputs a timeSeries object, and if from and to are missing, they take the
start and end time stamps of the series as default falues. The function then behaves like apply on
the column margin.
Note, the function fapply can be used repetitive in the following sense: If from and to are two
timeDate vectors of equal length then for each period spanned by the elelemts of the two vectors
the function FUN will be applied to each period. The resulting time stamps, are the time stamps of
the to vector. Note, the periods can be regular or irregelar, and they can even overlap.
The function fapply calls the more general function applySeries which also offers, to create
automatical monthly and quarterly periods.

Examples
## Percentual Returns of Swiss Bond Index and Performance Index -
LPP <- 100 * LPP2005REC[, c("SBI", "SPI")]
head(LPP, 20)

## Aggregate Quarterly Returns -

applySeries(LPP, by = "quarterly", FUN = colSums)

## Aggregate Quarterly every last Friday in Quarter -

oneDay <- 24*3600
from <- unique(timeFirstDayInQuarter(time(LPP))) - oneDay
as 11

from <- timeLastNdayInMonth(from, nday = 5)

to <- unique(timeLastDayInQuarter(time(LPP)))
to <- timeLastNdayInMonth(to, nday = 5)
data.frame(from = as.character(from), to = as.character(to))
applySeries(LPP, from, to, FUN = colSums)

## Count Trading Days per Month -

colCounts <- function(x) rep(NROW(x), times = NCOL(x))
applySeries(LPP, FUN = colCounts, by = "monthly")

## Alternative Use -
fapply(LPP, from, to, FUN = colSums)

as timeSeries Class, Coercion and Transformation

Description
Functions and methods dealing with the coercion of ’timeSeries’ objects.

Usage
## Default S3 method:
as.timeSeries(x, ...)
## S3 method for class 'ts'
as.timeSeries(x, ...)
## S3 method for class 'data.frame'
as.timeSeries(x, ...)
## S3 method for class 'character'
as.timeSeries(x, ...)
## S3 method for class 'zoo'
as.timeSeries(x, ...)

## S4 method for signature 'timeSeries'

as.matrix(x, ...)
## S4 method for signature 'timeSeries'
as.ts(x, ...)
## S4 method for signature 'timeSeries'
as.data.frame(x, row.names = NULL, optional = FALSE, ...)
## S4 method for signature 'timeSeries'
as.ts(x, ...)

Arguments
optional A logical value. If TRUE, setting row names and converting column names (to
syntactic names) is optional.
row.names NULL or a character vector giving the row names for the data frame. Missing
values are not allowed.
12 as

x an object which is coerced according to the generic function.

... arguments passed to other methods.

Details
Functions to create ’timeSeries’ objects from other objects:

as.timeSeries Generic to convert an object to a ’timeSeries’,

as.timeSeries.default Returns the unchanged object,
as.timeSeries.numeric Converts from a numeric vector,
as.timeSseries.data.frame Converts from a numeric vector,
as.timeSeries.matrix Converts from a matrix,
as.timeSeries.ts Converts from an object of class ’ts’,
as.timeSeries.character Converts from a named demo file,
as.timeSeries.zoo Converts an object of class zoo.

Functions to transform ’timeSeries’ objects into other objects:

as.matrix.timeSeries Coerces a ’timeSeries’ to a matrix,

as.data.frame.timeSeries Coerces a ’timeSeries’ to a data.frame,
as.ts.timeSeries S3: Coerces a ’timeSeries’ to a ’ts’ object.
as.ts.timeSeries S3: Coerces a ’timeSeries’ to a ’logical’ object.

Value
Function as.timeSeries returns a S4 object of class ’timeSeries’.

Functions as.numeric, as.data.frame, as.matrix, as.ts return depending on the generic func-
tion a numeric vector, a data frame, a matrix, or an object of class ts.

Examples
## Create an Artificial timeSeries Object -
setRmetricsOptions(myFinCenter = "GMT")
charvec <- timeCalendar()
data <- matrix(rnorm(12))
TS <- timeSeries(data, charvec, units = "RAND")
TS

## Coerce to Vector -
as.vector(TS)

## Coerce to Matrix -
as.matrix(TS)

## Coerce to Data Frame -

as.data.frame(TS)
attach 13

attach Attach a timSeries to the search path

Description
Attaches a ’timeSeries’ object to the search path.

Usage
## S4 method for signature 'timeSeries'
attach(what, pos = 2, name = deparse(substitute(what)),
warn.conflicts = TRUE)

Arguments
name alternative way to specify the database to be attached. See for details help(attach,package=base).
pos an integer specifying position in search() where to attach the database. See for
details help(attach,package=base).
warn.conflicts a logical value. If TRUE, warnings are printed about conflicts from attaching the
database, unless that database contains an object .conflicts.OK. A conflict is
a function masking a function, or a non-function masking a non-function. See
for details help(attach,package=base).
what [attach] -
database to be attached. This may currently be a timeSeries object, a data.frame
or a list or a R data file created with save or NULL or an environment. See for
details help(attach,package=base).

Value
The environment is returned invisibly with a name attribute.

Note
Note, the function detach from the base package can be used to detach the attached objects.

Examples
## Load Microsoft Data Set -
x <- MSFT[1:10, ]
colnames(x)

## Attach the Series and Compute the Range -

attach(x)
range <- High - Low
range

## Convert Vector to a timeSeries Object -

14 attributes

timeSeries(data=range, charvec=time(x), units="Range")

## Detach the series from the search path -

detach("x")
ans <- try(High, silent=TRUE)
cat(ans[1])

attributes Get and Set Optional Attributes of a ’timeSeries’

Description
Extracts or assigns optional attributes from or to a timeSeries object.

Usage
getAttributes(obj)
setAttributes(obj) <- value

Arguments
obj a timeSeries object whose optional attributes are to be accessed.
value an object, the new value of the attribute, or NULL to remove the attribute.

Details
Each timeSeries object is documented. By default a time series object holds in the documentation
slot a string with creation time and the user who has defined it. But this is not all. Optionally the
whole creation process and history can be recorded. For this the @documentation slot may have
an optional "Attributes" element. This attribute is tracked over the whole life time of the object
whenever the time series is changed. Whenever you like to be informed about the optional attributes,
or you like to recover them you can dot it, and evenmore, whenever you like to add information as
an addiitonal attribute you can also do it.
The two functions getAttributes and setAttributes provide access to and allow to modify the
optional attributes of a timeSeries object.

Examples
## Create an artificial timeSeries Object -
tS <- dummySeries()
tS

## Get Optional Attributes -

getAttributes(tS)
tS@documentation

## Set a new Optional Attribute -

setAttributes(tS) <- list(what="A dummy Series")
base-methods 15

tS
getAttributes(tS)
tS@documentation

base-methods Methods for ’timeSeries’ object

Description
Methods for function in Package ‘base’ for timeSeries object.

Methods
x = "timeSeries" a timeSeries object.

Examples
## None -

bind Bind two timeSeries objects

Description
Binds two ’timeSeries’ objects either by column or by row.

Value
returns a S4 object of class timeDate.

Examples
## Load Microsoft Data Set -
x <- MSFT[1:12, ]
x

## Bind Columnwise -
X <- cbind(x[, "Open"], returns(x[, "Open"]))
colnames(X) <- c("Open", "Return")
X

## Bind Rowwise -
Y <- rbind(x[1:3, "Open"], x[10:12, "Open"])
Y
16 colCum

colCum Cumulated Column Statistics

Description
Functions to compute cumulative column statistics.

Usage
## S4 method for signature 'timeSeries'
colCumsums(x, na.rm = FALSE, ...)

## S4 method for signature 'timeSeries'

colCummaxs(x, na.rm = FALSE, ...)

## S4 method for signature 'timeSeries'

colCummins(x, na.rm = FALSE, ...)

## S4 method for signature 'timeSeries'

colCumprods(x, na.rm = FALSE, ...)

## S4 method for signature 'timeSeries'

colCumreturns(x, method = c("geometric", "simple"), na.rm = FALSE, ...)

Arguments
method a character string to indicate if geometric (TRUE) or simple (FALSE) returns
should be computed.
na.rm a logical. Should missing values be removed?
x a time series, may be an object of class "matrix", or "timeSeries".
... arguments to be passed.

Value
all functions return an S4 object of class timeSeries.

Examples
## Simulated Return Data -
x = matrix(rnorm(24), ncol = 2)

## Cumulative Sums Column by Column -

colCumsums(x)
colStats 17

colStats Column Statistics

Description
A collection and description of functions to compute column statistical properties of financial and
economic time series data.

The functions are:

colStats calculates column statistics,

colSums calculates column sums,
colMeans calculates column means,
colSds calculates column standard deviations,
colVars calculates column variances,
colSkewness calculates column skewness,
colKurtosis calculates column kurtosis,
colMaxs calculates maximum values in each column,
colMins calculates minimum values in each column,
colProds computes product of all values in each column,
colQuantiles computes quantiles of each column.

Usage
colStats(x, FUN, ...)

colSds(x, ...)
colVars(x, ...)
colSkewness(x, ...)
colKurtosis(x, ...)
colMaxs(x, ...)
colMins(x, ...)
colProds(x, ...)
colQuantiles(x, prob = 0.05, ...)

colStdevs(x, ...)
colAvgs(x, ...)

Arguments
FUN a function name. The statistical function to be applied.
prob a numeric value, the probability with value in [0,1].
18 comment

x a rectangular object which can be transformed into a matrix by the function

as.matrix.
... arguments to be passed.

Value

the functions return a numeric vector of the statistics.

See Also

link{rowStats}.

Examples
## Simulated Return Data in Matrix Form -
x = matrix(rnorm(252), ncol = 2)

## Mean Columnwise Statistics -

colStats(x, FUN = mean)

## Quantiles Column by Column -

colQuantiles(x, prob = 0.10, type = 1)

comment comment for timeSeries objects

Description

Print or assign new comment to a timeSeries object.

Usage

## S4 method for signature 'timeSeries'

comment(x)
## S4 replacement method for signature 'timeSeries'
comment(x) <- value

Arguments

x a timeSeries object.
value a character string - the comment.
cumulated 19

Examples

## Get Description from timeSeries -

comment(LPP2005REC)

## Add User to comment -

comment(LPP2005REC) <- paste(comment(LPP2005REC), "by User Rmetrics")
comment(LPP2005REC)

cumulated Cumulated Time Series from Returns

Description

Computes a cumulated financial ’timeSeries’, e.g. prices or indexes, from financial returns.

Usage

cumulated(x, ...)

## Default S3 method:
cumulated(x, method = c("continuous", "discrete",
"compound", "simple"), percentage = FALSE, ...)

Arguments

method a character string naming the method how the returns were computed.
percentage a logical value. By default FALSE, if TRUE the series will be expressed in per-
centage changes.
x an object of class timeSeries.
... arguments to be passed.

Details

Note, the function cumulated assumes as input discrete returns from a price or index series. Only
then the cumulatrd series agrees with the original price or index series. The first values of the
cumulated series cannot be computed, it is assumed that the series is indexed to 1.

Value

Returns a ’timeSeries’ object of the same class as the input argument x.

20 description

Examples
## Use the Microsofts' Close Prices Indexed to 1 -
MSFT.CL <- MSFT[, "Close"]
MSFT.CL <- MSFT.CL/MSFT[[1, "Close"]]
head(MSFT.CL)

## Compute Discrete Return -

MSFT.RET <- returns(MSFT.CL, method = "discrete")

## Cumulated Series and Compare -

MSFT.CUM <- cumulated(MSFT.RET, method = "discrete")
head(cbind(MSFT.CL, MSFT.CUM))

DataPart,timeSeries-method
DataPart,timeSeries-method

Description
Utilities called to implement object@.Data of timeSeries objects.

Examples
## Load Microsoft Data -
X <- MSFT[1:10, 1:4]

## Get Data Part -

DATA <- getDataPart(X)
class(DATA)

description Creates Date and User Information

Description
Creates and returns a data and user string.

Usage
description()

Examples
## Show Default Description String -
description()
diff 21

diff diff

Description
Differences a ’timeSeries’ 0bject.

Usage
diff(x, ...)

Arguments
x an object of class ’timeSeries’.
... further arguments to be passed. These may include

Details
Arguments to be passed may include:

lag - an integer indicating which lag to use. By default 1.

diff - an integer indicating the order of the difference. By default 1.
trim - a logical flag. Should NAs at the beginning of the series be removed? By default FALSE.
pad - a umeric value with which NAs should be replaced at the beginning of the series. By default
NA.

Value
Returns a differenced S4 ’timeSeries’ object.

Examples
## Load Microsoft Data Set -
x <- MSFT[1:12, ]
x

## Compute Differences -
diff(x)

## Trimmed Differences -
diff(x, trim=TRUE)

## Padded Differences -
diff(x, trim=FALSE, pad=0)
22 dimnames

dimnames Time Series Columns and Rows

Description
Handling columns and rows of ’timeSeries’ objects.

Details

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

Value
Returns the dimensions and related numbers of a ’timeSeries’ object.

Examples
## Load Swiss Pension Fund Benchmark Data -
X <- LPP2005REC[1:10, 1:3]

## Get Dimension -
dim(X)

## Get Column and Row Names -

dimnames(X)

## Get Column / Row Names -

colnames(X)
rownames(X)

## Try your own DIM -

DIM <- function(x) {c(NROW(x), NCOL(x))}
DIM(X)
DIM(X[, 1])

## Try length / LENGTH -

length(X)
length(X[, 1])
LENGTH <- function(X) NROW(X)
LENGTH(X)

## Columns / Rows -
ncol(X); NCOL(X)
drawdowns 23

nrow(X); NROW(X)

## See also -
isUnivariate(X)
isMultivariate(X)

drawdowns Calculations of Drawdowns

Description
Compute series of drawdowns from financial returns and calculate drawdown statisitcs.

Usage
drawdowns(x, ...)

drawdownsStats(x, ...)

Arguments
x a ’timeSeries’ object of financial returns. Note, drawdowns can be calculated
from an uni- or multivariate time deries object, statistics can only be computed
from an univariate time series object.
... optional arguments passed to the function na.omit.

Details
The code in the core of the function drawdownsStats was was borrowed from the package PerformanceAnalytics
authored by Peter Carl and Sankalp Upadhyay.

Value
drawdowns
returns an object of class ’timeSeries’.
drawdownsStats
returns an object of class ’data.frame’ with the following entries:
"drawdown" - the depth of the drawdown,
"from" - the start date,
"trough" - the trough period,
"to" - the end date,
"length" - the length in number of records,
"peaktrough" - the peak trough, and ,
"recovery" - the recovery length in number of records.

Author(s)
Peter Carl and Sankalp Upadhyay for code from the contributed R package PerformanceAnalytics
used in the function drawdownsStats.
24 durations

Examples
## Use Swiss Pension Fund Data Set of Returns -
head(LPP2005REC)
SPI <- LPP2005REC[, "SPI"]
head(SPI)

## Plot Drawdowns -
dd = drawdowns(LPP2005REC[, "SPI"], main = "Drawdowns")
plot(dd)
dd = drawdowns(LPP2005REC[, 1:6], main = "Drawdowns")
plot(dd)

## Compute Drawdowns Statistics -

ddStats <- drawdownsStats(SPI)
class(ddStats)
ddStats

## Note, Only Univariate Series are allowd -

ddStats <- try(drawdownsStats(LPP2005REC))
class(ddStats)

durations Durations from a Time Series

Description
Computes durations from an object of class ’timeSeries’.

Usage

durations(x, trim = FALSE, units = c("secs", "mins", "hours", "days"))

Arguments
x an object of class timeSeries.
trim a logical value. By default TRUE, the first missing observation in the return series
will be removed.
units a character value or vector which allows to set the units in which the durations
are measured. By default durations are measured in seconds.

Details
Durations measure how long it takes until we get the next record in a timesSeries object. We
return a time series in which for each time stamp we get the length of the period from when we got
the last record. This period is measured in length specified by the argument units, for daily data
use units="days".
filter 25

Value
returns an object of class timeSeries.

Examples
## Compute Durations in days for the MSFT Sereries -
head(durations(MSFT, units = "days"))
head(durations(MSFT, trim = TRUE, units = "days"))

## The same in hours -

head(durations(MSFT, trim = TRUE, units = "hours"))

filter Linear Filtering on a Time Series

Description
Applies linear filtering to a univariate ’timeSeries’.

Value
A ’timeSeries’ object without missing values.

Examples
## Creata a Dummy Signal 'timeSeries' -
data <- matrix(rnorm(100), ncol = 2)
s <- timeSeries(data, units=c("A", "B"))
head(s)

## Filter the series -

f <- filter(s, rep(1, 3))
head(f)

## Plot and Compare the first series -

plot(cbind(s[, 1], f[, 1]), plot.type="s")

finCenter Get and Set Financial Center of a ’timeSeries’

Description
Print or assign new financial center to a ’timeSeries’ object.
26 is.timeSeries

Usage
getFinCenter(x)
setFinCenter(x) <- value

## S4 method for signature 'timeSeries'

finCenter(x)
## S4 replacement method for signature 'timeSeries'
finCenter(x) <- value

Arguments
x a ’timeSeries’ object.
value a character with the the location of the financial center named as "continent/city".

See Also
listFinCenter

Examples
## An artificial timeSeries Object -
tS <- dummySeries()
tS

## Print Financial Center -

finCenter(tS)
getFinCenter(tS)

## Assign New Financial Center -

finCenter(tS) <- "Zurich"
tS
setFinCenter(tS) <- "New_York"
tS

is.timeSeries timeSeries Class, Coercion and Transformation

Description
is.timeSeries tests if its argument is a timeSeries. is.timeSeries tests if series has no times-
tamps.

Usage
is.timeSeries(x)
is.signalSeries(x)
isRegular 27

Arguments
x an object of class ’timeSeries’.

Value
Returns TRUE or FALSE depending on whether its argument is an object of class ’timeSeries’ or not.

Examples
## Create an Artificial timeSeries Object -
setRmetricsOptions(myFinCenter = "GMT")
charvec <- timeCalendar()
data <- matrix(rnorm(12))
TS <- timeSeries(data, charvec, units = "RAND")
TS

## Test for timeSeries -

is.timeSeries(TS)

isRegular Checks if a time series is regular

Description
Checks if a time series is regular.

Usage
## S4 method for signature 'timeSeries'
isDaily(x)
## S4 method for signature 'timeSeries'
isMonthly(x)
## S4 method for signature 'timeSeries'
isQuarterly(x)

## S4 method for signature 'timeSeries'

isRegular(x)

## S4 method for signature 'timeSeries'

frequency(x, ...)

Arguments
x an R object of class ’timeSeries’.
... arguments to be passed.
28 isUnivariate

Details
What is a regular time series? If a series is a daily, a monthly, or a weekly time series then we speak
of a regular series. This can be tested calling the functions isDaily, isMonthly, isQuarterly,
or in general isRegular If the series is regular then the frequency of the series can be determined
calling the function frequency.
A time series is defined as daily if the series has not more than one date/time stamp per day.
A time series is defined as monthly if the series has not more than one date/time stamp per month.
A time series is defined as quarterly if the series has not more than one date/time stamp per quarter.
Note, amonthly series is also a daily series, a quarterly series is alsona monthly series.
With these definitions a regular series is either a monthly or a quarterly series.

NOT yet implemented is the case of weekly series.

Value
The is* functions return TRUE or FALSE depending on whether the series fulfills the condition or
not.
The function frequency returns in general 1, for quarterly series 4, and for monthly series 12.

Examples
## None

isUnivariate Checks if a Time Series is Univariate

Description
Checks if a time series o bject or any other rectangular object is univariate or multivariate.

Usage
isUnivariate(x)
isMultivariate(x)

Arguments
x an object of class timeSeries or any other rectangular object.

Details
A rectangular object x is considered to be univariate if the function NCOL(x) returns one, and is
considered to be multivariate if NCOL(x) returns a value bigger than one.
lag 29

Value
isUnivariate
isMultivariate

return a logical depending if the test is true or not.

Examples
## Load Microsoft Data -
setRmetricsOptions(myFinCenter = "GMT")
data(MSFT)
Open = MSFT[, "Open"]

## Is the timeSeries Univariate -

isUnivariate(MSFT)
isUnivariate(Open)

## Is the timeSeries Multivariate -

isMultivariate(MSFT)
isMultivariate(Open)

lag Lag a Time Series

Description
Compute a lagged version of a ’timeSeries’ object.

Usage
## S4 method for signature 'timeSeries'
lag(x, k = 1, trim = FALSE, units = NULL, ...)

Arguments
k [lagSeries] -
an integer value. The number of lags (in units of observations). By default 1.
trim a logical value. By default TRUE, the first missing observation in the return series
will be removed.
units 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.
x an object of class timeSeries.
... arguments passed to other methods.

Value
returns a lagged S4 object of class ’timeSeries’.
30 math

Examples
## Load Micsrosoft Data Set -
x = MSFT[1:20, "Open"]

## Lag the timeSeries Object:

lag(x, k = -1:1)

math Mathematical Time Series Operations

Description
Functions and methods dealing with mathematical ’timeSeries’ operations.

Usage

## S4 method for signature 'timeSeries'

quantile(x, ...)

Arguments
x an object of class timeSeries.
... arguments to be passed.

Details
The math functions include:

Ops-method Group ’Ops’ methods for a ’timeSeries’ object

Math-method Group ’Math’ methods for a ’timeSeries’ object
Math2-method Group ’Math2’ methods for a ’timeSeries’ object
Summary-method Group ’Summary’ methods for a ’timeSeries’ object
quantile Returns quantiles of an univariate ’timeSeries’.

Value

Returns the value from a mathematical or logical operation operating on objects of class ’time-
Series[], or the value computed by a mathematical function.
merge 31

Examples
## Create an Artificial timeSeries Object -
setRmetricsOptions(myFinCenter = "GMT")
charvec = timeCalendar()
set.seed(4711)
data = matrix(exp(cumsum(rnorm(12, sd = 0.1))))
TS = timeSeries(data, charvec, units = "TS")
TS

## Mathematical Operations: | +/- * ^ ... -

TS^2
TS[2:4]
OR = returns(TS)
OR
OR > 0

merge Merges two ’timeSeries’ objects

Description
Merges several object types with ’timeSeries’ objects. The number of rows must match.

Details
The following combinations are supported:

timeSeries ANY
timeSeries missing
timeSeries numeric
timeSeries matrix
timeSeries timeSeries

Value
Returns a ’timeSeries’ object of two merged time series.

Examples
## Load Series -
x <- MSFT[1:12, ]

## Merge 'timeSeries' with missing Object -

merge(x)

## Merge 'timeSeries' with numeric Object -

y <- rnorm(12)
class(y)
merge(x, y)
32 model.frame

## Merge 'timeSeries' with matrix Object -

y <- matrix(rnorm(24), ncol=2)
class(y)
merge(x, y)

## Merge 'timeSeries' with matrix Object -

y <- timeSeries(data=rnorm(12), charvec=time(x))
class(y)
merge(x, y)

model.frame Model Frames for Time Series Objects

Description
Allow to work with model frames for ’timeSeries’ objects.

Details
The function model.frame is a generic function which returns in the R-ststs framework by default
a data.frame with the variables needed to use formula and any ... arguments. In contrast to this
the method returns an object of class timeSeries when the argument data was not a data.frame
but also an object of class ’timeSeries’.

Value
Returns an object of class ’timeSeries.

Note
This function is preliminary and untested.

See Also
model.frame.

Examples
## Load Microsoft Data -
setRmetricsOptions(myFinCenter = "GMT")
X <- MSFT[1:12, ]

## Extract High's and Low's:

DATA <- model.frame( ~ High + Low, data = X)
class(DATA)
as.timeSeries(DATA)

## Extract Open Prices and their log10's:

monthly 33

base <- 10
Open <- model.frame(Open ~ log(Open, base = `base`), data = X)
colnames(Open) <- c("X", "log10(X)")
class(Open)
as.timeSeries(Open)

monthly Special Monthly Series

Description
Functions and methods dealing with special monthly ’timeSeries’ objects.

Usage

countMonthlyRecords(x)

rollMonthlyWindows(x, period = "12m", by = "1m")

rollMonthlySeries(x, period = "12m", by = "1m", FUN, ...)

Arguments
x a ’timeSeries’ object.
period a character string specifying the rollling period composed by the length of the
period and its unit. As examples: "3m" represents quarterly shifts, and "6m",
]code"12m", and "24m" semi-annual, annual and bi-annual shifts. To determine
the proper start of the series is in the responsibility of the user.
by a character string specifying the rolling shift composed by the length of the
shift and its unit. As examples: "1m" represents monthly shifts, "3m" represents
quarterly shifts, and "6m" semi-annual shifts. To determine the proper start of
the series is in the responsibility of the user.
FUN the function for the statistic to be applied. For example in the case of aggregation
usecolAvgs.
... arguments passed to the function FUN.

Details
The function countMonthlyRecords computes a ’timeSeries’ that holds the number of monthly
counts of the records.
The function rollMonthlyWindows computes start and end dates for rolling time windows.
The function rollMonthlySeries computes a static over rolling periods defined by the function
rollMonthlyWindows.
34 na

Value

The function countMonthlyRecords returns a ’timeSeries’ object.

The function rollMonthlyWindows returns a list with two named ’tomeDate’ entries: $from and
to. An attribute "control" is added which keeps the start and end dates of the series.
The function rollMonthlySeries computes the statistics defined by the function FUN over a rolling
window internally computed by the function rollMonthlyWindows. Note, the periods may be
overlapping, may be dense, or even may have gaps.

Examples
## Load Microsoft Daily Data Set:
x <- MSFT

## Count Monthly Records -

counts <- countMonthlyRecords(x)
counts

## Quaterly Non-Overlapping Time Periods -

windows <- rollMonthlyWindows(counts[-1, ], period = "3m", by = "3m")
windows

## Nicely Reprint Results as a data.frame -

data.frame(cbind(FROM=format(windows$from), TO=format(windows$to)))

## Compute the average number of monthly trading days per quarter -

rollMonthlySeries(counts[-1, ], period = "3m", by = "3m", FUN=mean)

na Handling Missing Time Series Values

Description

Functions for handling missing values in ’timeSeries’ objects

Usage

## S4 method for signature 'timeSeries'

na.omit(object, method = c("r", "s", "z", "ir", "iz", "ie"),
interp = c("before", "linear", "after"), ...)

removeNA(x, ...)
substituteNA(x, type = c("zeros", "mean", "median"), ...)
interpNA(x, method = c("linear", "before", "after"), ...)
na 35

Arguments
interp, type [nna.omit][substituteNA] -
Three alternative methods are provided to remove NAs from the data: type="zeros"
replaces the missing values by zeros, type="mean" replaces the missing values
by the column mean, type="median" replaces the missing values by the the
column median.
method [na.omit] -
Specifies the method how to handle NAs. One of the applied vector strings:
method="s" na.rm = FALSE, skip, i.e. do nothing, method="r" remove NAs,
method="z" substitute NAs by zeros, method="ir" interpolate NAs and remove
NAs at the beginning and end of the series, method="iz" interpolate NAs and
substitute NAs at the beginning and end of the series, method="ie" interpolate
NAs and extrapolate NAs at the beginning and end of the series, [interpNA] -
Specifies the method how to interpolate the matrix column by column. One of
the applied vector strings: method="linear", method="before" or method="after".
For the interpolation the function approx is used.
object an object of class("timeSeries").
x a numeric matrix, or any other object which can be transformed into a matrix
through x = as.matrix(x,...). If x is a vector, it will be transformed into a
one-dimensional matrix.
... arguments to be passed to the function as.matrix.

Details
Functions for handling missing values in ’timeSeries’ objects and in objects which can be trans-
formed into a vector or a two dimensional matrix.

The functions are listed by topic.

na.omit Handles NAs,

removeNA Removes NAs from a matrix object,
substituteNA substitute NAs by zero, the column mean or median,
interpNA interpolates NAs using R’s "approx" function.

Missing Values in Price and Index Series:

Applied to timeSeries objects the function removeNA just removes rows with NAs from the series.
For an interpolation of time series points one can use the function interpNA. Three different meth-
ods of interpolation are offered: "linear" does a linear interpolation, "before" uses the previous
value, and "after" uses the following value. Note, that the interpolation is done on the index scale
and not on the time scale.
Missing Values in Return Series:
For return series the function substituteNA may be useful. The function allows to fill missing
values either by method="zeros", the method="mean" or the method="median" value of the ap-
propriate columns.
36 na

Note

The functions removeNA, substituteNA and interpNA are older implementations. Please use in
all cases if possible the new function na.omit.
When dealing with daily data sets, there exists another function alignDaily Series which can
handle missing data in un-aligned calendarical ’timeSeries’ objects.

References

Troyanskaya O., Cantor M., Sherlock G., Brown P., Hastie T., Tibshirani R., Botstein D., Altman
R.B., (2001); Missing Value Estimation Methods for DNA microarrays Bioinformatics 17, 520–525.

Examples

## Create a Matrix -
X <- matrix(rnorm(100), ncol = 5)

## Replace a Single NA Inside -

X[3, 5] <- NA

## Replace Three in a Row Inside -

X[17, 2:4] <- c(NA, NA, NA)

## Replace Three in a Column Inside -

X[13:15, 4] <- c(NA, NA, NA)

## Replace Two at the Right Border -

X[11:12, 5] <- c(NA, NA)

## Replace One in the Lower Left Corner -

X[20, 1] <- NA
print(X)

## Remove Rows with NAs -

removeNA(X)

## Subsitute NA's by Zeros or Column Means -

substituteNA(X, type = "zeros")
substituteNA(X, type = "mean")

## Interpolate NA's Linearily -

interpNA(X, method = "linear")
# Note the corner missing value cannot be interpolated!

## Take Previous Values in a Column -

interpNA(X, method = "before")
# Also here, the corner value is excluded
orderColnames 37

na.contiguous Find Longest Contiguous Stretch of non-NAs

Description
Find the longest consecutive stretch of non-missing values in a timeSeries object. (In the event of a
tie, the first such stretch.)

Usage
## S4 method for signature 'timeSeries'
na.contiguous(object, ...)

Arguments
object a timeSeries object.
... further arguments passed to or from other methods.

Value
A timeSeries object without missing values.

Examples
## Dummy timeSeries with NAs entries
data <- matrix(sample(c(1:20, rep(NA,4))), ncol = 2)
s <- timeSeries(data, timeCalendar())

## Find the longest consecutive non-missing values

na.contiguous(s)

orderColnames Reorder Column Names of a Time Series

Description
Functions and methods dealing with the rearrangement of column names of ’timeSeries’ objects.

orderColnames Returns ordered column names of a time Series,

sortColnames Returns sorted column names of a time Series,
sampleColnames Returns sampled column names of a time Series,
statsColnames Returns statistically rearranged column names,
pcaColnames Returns PCA correlation ordered column names,
hclustColnames Returns hierarchical clustered column names.
38 orderColnames

Usage
orderColnames(x, ...)
sortColnames(x, ...)
sampleColnames(x, ...)
statsColnames(x, FUN = colMeans, ...)
pcaColnames(x, robust = FALSE, ...)
hclustColnames(x, method = c("euclidean", "complete"), ...)

Arguments
FUN a character string indicating which statistical function should be applied. By
default statistical ordering operates on the column means of the time series.
method a character string with two elements. The first determines the choice of the
distance measure, see dist, and the second determines the choice of the ag-
glomeration method, see hclust.
robust a logical flag which indicates if robust correlations should be used.
x an object of class timesSeries or any other rectangular object which can be
transformed by the function as.matrix into a numeric matrix.
... further arguments to be passed, see details.

Details
Statistically Motivated Rearrangement
The function statsColnames rearranges the column names according to a statical measure. These
measure must operate on the columns of the time series and return a vector of values which can
be sorted. Typical functions ar those listed in in help page colStats but one can also crete his
own functions which compute for example risk or any other statistical measure. The ... argument
allows to pass additional arguments to the underlying function FUN.

PCA Ordering of the Correlation Matrix

The function pcaColnames rearranges the column names according to the PCA ordered correlation
matrix. The argument robust allsows to select between the use of the standard cor and computa-
tion of robust correlations using the function covMcd from contributed R package robustbase. The
... argument allows to pass additional arguments to the two underlying functions cor or covMcd.
E.g. adding method="kendall" to the argument list calculates Kendall’s rank correlations instead
the default which calculates Person’s correlations.

Ordering by Hierarchical Clustering

The function pcaColnames uses the hierarchical clustering approach hclust to rearrange the col-
umn names of the time series.

Value
returns a vector of character string, the rearranged column names.
orderStatistics 39

Examples
## Load Swiss Pension Fund Benchmark Data -
data <- LPP2005REC[,1:6]

## Abbreviate Column Names -

colnames(data)

## Sort Alphabetically -
sortColnames(data)

## Sort by Column Names by Hierarchical Clustering -

hclustColnames(data)
head(data[, hclustColnames(data)])

orderStatistics order Statistics

Description
Computes order statistic of a ’timeSeries’.

Usage
orderStatistics(x)

Arguments
x an univariate ’timeSeries’ object.

Value
Function orderStatistics returns the order statistic of an univariate ’timeSeries’ object. The
output is an object of class ’list’.

Examples
## Load Swiss Pension Fund Benchmark Data -
setRmetricsOptions(myFinCenter = "GMT")
X <- LPP2005REC[, "SPI"]
colnames(X)

## Compute 1% Order Statistics -

N <- round(0.01*nrow(X))
N
OS <- orderStatistics(X)[[1]]
OS[1:N, ]
40 periodical

periodical End-of-Period Series, Stats, and Benchmarks

Description
Computes perodical statistics back to a given period.

Usage

endOfPeriodSeries(x,
nYearsBack = c("1y", "2y", "3y", "5y", "10y", "YTD"))

endOfPeriodStats(x,
nYearsBack = c("1y", "2y", "3y", "5y", "10y", "YTD"))

endOfPeriodBenchmarks(x, benchmark = ncol(x),

nYearsBack = c("1y", "2y", "3y", "5y", "10y", "YTD"))

Arguments
x an end-of-month recorded multivariate ’timeSeries’ object. One of the columns
holds the benchmark series specified by the argument benchmark, By defauklt
this is the last column of x.
nYearsBack a period string. How long back should the series be treated? Options include
values from 1 year to 10 years, and year-to-date: "1y", "2y", "3y", "5y", "10y",
"YTD".
benchmark an integer giving the position of the benchmar series in x.

Details
The function endOfPeriodSeries returns series back to a given period.
The function endOfPeriodStats returns statistics back to a given period.
The function endOfPeriodBenchmarks returns benchmarks back to a given period.
x must be end of month data. Note you can create such series using for example the functions:
align, alignDailySeries, daily2monthly.

Examples
## Load Series: Column 1:3 Swiss Market, Column 8 (4) Benchmark
x <- 100 * LPP2005REC[, c(1:3, 8)]
colnames(x)
x <- daily2monthly(x)
x

## Get the Monthly Series -

plot-methods 41

endOfPeriodSeries(x, nYearsBack="1y")

## Compute the Monthly Statistics -

endOfPeriodStats(x, nYearsBack="1y")

## Compute the Benchmark -

endOfPeriodBenchmarks(x, benchmark=4)

plot-methods Plot a Time Series

Description
Plots ’timeSeries’ objects and add lines and points.

Usage
## S4 method for signature 'timeSeries'
plot(x, y, FinCenter = NULL,
plot.type = c("multiple", "single"), format = "auto",
at = pretty(x), widths = 1, heights = 1, xy.labels,
xy.lines, panel = lines, nc, yax.flip = FALSE,
mar.multi = c(0, 5.1, 0, if (yax.flip) 5.1 else 2.1),
oma.multi = c(6, 0, 5, 0), axes = TRUE, ...)

## S4 method for signature 'timeSeries'

lines(x, FinCenter = NULL, ...)
## S4 method for signature 'timeSeries'
points(x, FinCenter = NULL, ...)

## S3 method for class 'timeSeries'

pretty(x, n=5, min.n=n%/%3, shrink.sml=0.75,
high.u.bias=1.5, u5.bias=0.5+1.5*high.u.bias, eps.correct=0, ...)

Arguments
x, y objects of class timeSeries.
FinCenter a character with the the location of the financial center named as "continent/city".
plot.type for multivariate time series, should the series by plotted separately (with a com-
mon time axis) or on a single plot?
format POSIX label format, e.g. "%Y-%m-%d" or "%F" for ISO-8601 standard date
format.
at a timeDate object setting the plot label positions. If at=pretty(x), the pos-
titions are generated automatized calling the function pretty. Default option
at="auto" selects 6 equal spaced time label positions. For the new plot themes
set at="pretty" or at="chic". In this case additional arguments can be passed
through the ... arguments, see details.
42 plot-methods

widths, heights
widths and heights for individual graphs, see layout.
xy.labels logical, indicating if text() labels should be used for an x-y plot, \_or\_ char-
acter, supplying a vector of labels to be used. The default is to label for up to
150 points, and not for more.
xy.lines logical, indicating if lines should be drawn for an x-y plot. Defaults to the
value of xy.labels if that is logical, otherwise to TRUE
panel a function(x,col,bg,pch,type,...) which gives the action to be carried out
in each panel of the display for plot.type="multiple". The default is lines.
nc the number of columns to use when type="multiple". Defaults to 1 for up to
4 series, otherwise to 2.
yax.flip logical indicating if the y-axis (ticks and numbering) should flip from side 2
(left) to 4 (right) from series to series when type="multiple".
mar.multi, oma.multi
the (default) par settings for plot.type="multiple".
axes logical indicating if x- and y- axes should be drawn.
n an integer giving the desired number of intervals.
min.n a nonnegative integer giving the minimal number of intervals.
shrink.sml a positive numeric by a which a default scale is shrunk in the case when range(x)
is very small.
high.u.bias a non-negative numeric, typically > 1. Larger high.u.bias values favor larger
units.
u5.bias a non-negative numeric multiplier favoring factor 5 over 2.
eps.correct an integer code, one of 0,1,2. If non-0, a correction is made at the boundaries.
... additional graphical arguments, see plot, plot.default and par.

Details
The original plotting function plot was build along R’s plotting function plot.ts with an addi-
tional argument to tailor the position marks at user defined position specified by the argument at.
We call this style or theme "ts".
With Verison R 3.1 we have inroduced two new additionol plotting themes called "pretty" and
"chick". They are becoming active when we set at="pretty" or at="chic".
Plot style or theme "pretty" is an extension of our original plotting function.
Plot style or theme "chic" an implementation along the contributed packages xts and PerformanceAnalytics
from the Chicago finance group members. "Chicago" gave the name to call the them "chic".
For both themes, "pretty" and "chic" additional arguments are passed through the ... arguments.
These are:

Argument: Default: Description:

type "l" types pf plot
col 1 colors for lines and points
pch 20 plot symbol
cex 1 character and symbol scales
plot-methods 43

lty 1 line types

lwd 2 line widths
cex.axes 1 scale of axes
cex.lab 1 scale of labels
cex.pch 1 scale of plot symbols

grid TRUE should grid lines plotted?

frame.plot TRUE should b box around the plot?
axes TRUE should be axes drawn on the plot?
ann TRUE should default annotations appear?

Concerning the plot elements, the length of these vectors has to be the same as the number of
columns in the time series to be plotted. If their length is only one, then tey are repeated.
There is an almost 70 pages vignette added to the package, with dozens of examples of tailored
plots. Have a look in it.

Value
Displays a plot or plot elements of an object of class ’timeSeries’.

Examples
## Load Swiss Pension Fund Benchmark Data -
LPP <- LPP2005REC[1:12, 1:4]
colnames(LPP) <- abbreviate(colnames(LPP), 2)
finCenter(LPP) <- "GMT"

## Example Plot 1 -
plot(LPP[, 1], type = "o", col = "steelblue",
main = "LPP", xlab = "2005", ylab = "Return")
plot(LPP[, 1], at="auto", type = "o", col = "steelblue",
main = "LPP", xlab = "2005", ylab = "Return")

## Example Plot 2 -
plot(LPP[, 1:2], type = "o", col = "steelblue",
main = "LPP", xlab = "2005", ylab = "Return")

## Example Plot 3 -
plot(LPP[, 1], LPP[, 2], type = "p", col = "steelblue",
main = "LPP", xlab = "Return 1", ylab = "Return 2")

## Example Plot 4a, The Wrong Way to do it! -

LPP <- as.timeSeries(data(LPP2005REC))
ZRH <- as.timeSeries(LPP[,"SPI"], zone = "Zurich", FinCenter = "Zurich")
NYC <- as.timeSeries(LPP[,"LMI"], zone = "NewYork", FinCenter = "NewYork")
finCenter(ZRH)
finCenter(NYC)
plot(ZRH, at="auto", type = "p", pch = 19, col = "blue")
points(NYC, pch = 19, col = "red")
44 print-methods

## Example Plot 4b, Convert NYC to Zurich Time -

finCenter(ZRH) <- "Zurich"
finCenter(NYC) <- "Zurich"
at <- unique(round(time(ZRH)))
plot(ZRH, type = "p", pch = 19, col = "blue", format = "%b %d", at = at,
xlab = paste(ZRH@FinCenter, "local Time"), main = ZRH@FinCenter)
points(NYC, pch = 19, col = "red")

## Example 4c, Force Everything to GMT Using "FinCenter" Argument -

finCenter(ZRH) <- "Zurich"
finCenter(NYC) <- "NewYork"
at <- unique(round(time(ZRH)))
plot(ZRH, type = "p", pch = 19, col = "blue", format = "%b %d", at = at,
FinCenter = "GMT", xlab = "GMT", main = "ZRH - GMT")
points(NYC, FinCenter = "GMT", pch = 19, col = "red")

print-methods Print a Time Series

Description
Print ’timeSeries’ pbjects.

Arguments
object an object of class timeSeries.

Value
Prints an object of class timeSeries.

Examples
## Load Micsrosoft Data -
setRmetricsOptions(myFinCenter = "GMT")
LPP <- MSFT[1:12, 1:4]

## Abbreviate Column Names -

colnames(LPP) <- abbreviate(colnames(LPP), 6)

## Print Data Set -

print(LPP)

## Alternative Use, Show Data Set -

show(LPP)
rank 45

rank Sample Ranks of a Time Series

Description
Returns the sample ranks of the values of a ’timeSeries’ object.

Usage
## S4 method for signature 'timeSeries'
rank(x, na.last = TRUE, ties.method = )

Arguments
x an univariate object of class timeSeries.
na.last for controlling the treatment of NAs. If TRUE, missing values in the data are
put last; if FALSE, they are put first; if NA, they are removed; if "keep" they are
kept with rank NA.
ties.method a character string specifying how ties are treated; can be abbreviated.

Details
If all components are different (and no NAs), the ranks are well defined, with values in seq_len(x).
With some values equal (called ???ties???), the argument ties.method determines the result at the
corresponding indices. The "first" method results in a permutation with increasing values at each
index set of ties. The "random" method puts these in random order whereas the default, "average",
replaces them by their mean, and "max" and "min" replaces them by their maximum and minimum
respectively, the latter being the typical sports ranking.
NA values are never considered to be equal: for na.last = TRUE and na.last = FALSE they are
given distinct ranks in the order in which they occur in x.

Value
returns the ranks of a timeSeries object.

Examples
## Load Microsoft Data -
X <- 100 * returns(MSFT)

## Compute the Ranks -

head(rank(X[, "Open"]), 10)

## Only Interested in the Vector, then use -

head(rank(series(X[, "Open"])), 10)
46 readSeries

readSeries Reads a ’timeSeries’ from a File

Description

Reads a file in table format and creates a timeSeries object from it.

Usage

readSeries(file, header = TRUE, sep = ";", zone = "",

FinCenter = "", format, ...)

Arguments

file the filename of a spreadsheet data set from which to import the data records.
FinCenter a character with the the location of the financial center named as "continent/city".
header a logical value indicating whether the file contains the names of the variables as
its first line. If missing, the value is determined from the file format: ’header’
is set to ’TRUE’ if and only if the first row contains one fewer field than the
number of columns.
format a character string with the format in POSIX notation specifying the timestamp
format. Note, the format has not to be specified if the first column in the file
has the timestamp format specifyer, e.g. "%Y-%m-%d" for the short ISO 8601
format.
sep the field seperator used in the spreadsheet file to separate columns. By default
";". Note, if sep=";" is specified, and reading the series fails, then the reading
is automatically repeated with sep=",".
zone the time zone or financial center where the data were recorded. By default
zone="" which is short for GMT.
... Additional arguments passed to read.table() function which is used to read
the file.

Details

The first column of the table must hold the timestamps. Format of the stimestamps can be either
specified in the header of the first column or by the format argument.

Value

Returns a S4 object of class timeSeries.

returns 47

returns Financial Returns

Description
Compute financial returns from prices or indexes.

Usage
returns(x, ...)
returns0(x, ...)

## S4 method for signature 'ANY'

returns(x, method = c("continuous", "discrete",
"compound", "simple"), percentage = FALSE, ...)
## S4 method for signature 'timeSeries'
returns(x, method = c("continuous", "discrete",
"compound", "simple"), percentage = FALSE, na.rm = TRUE,
trim = TRUE, ...)

getReturns(...)
returnSeries(...)

Arguments
x an object of class timeSeries.
percentage a logical value. By default FALSE, if TRUE the series will be expressed in per-
centage changes.
method a character string. Which method should be used to compute the returns, "con-
tinuous", "discrete", or "compound", "simple". The second pair of methods is a
synonyme for the first two methods.
na.rm a logical value. Should NAs be removed? By Default TRUE.
trim a logical value. Should the time series be trimmed? By Default TRUE.
... arguments to be passed.

Value
all functions return an object of class timeSeries.
returns0 returns am untrimmed series with the first row of returns set to zero(s).

Note
The functions returnSeries, getReturns, are synonymes for the function returns. We do not
recommend to use these functions.
48 rev

Examples
## Load Microsoft Data -
setRmetricsOptions(myFinCenter = "GMT")
data(MSFT)
X = MSFT[1:10, 1:4]
X

## Continuous Returns -
returns(X)
returns0(X)

## Discrete Returns:
returns(X, method = "discrete")

## Don't trim:
returns(X, trim = FALSE)

## Use Percentage Values:

returns(X, percentage = TRUE, trim = FALSE)

rev Reversion of a ’timeSeries’

Description
Reverses an uni- or multivariate ’timeSeries’ object by reversing the order of the time stamps.

Usage
## S4 method for signature 'timeSeries'
rev(x)

Arguments
x an uni- or multivariate ’timeSeries’ object.

Value
Returns a reversed ’timeSeries’ object.

Examples

## Create Dummy timeSeries -

tS <- dummySeries()

## Reverse Series -
rev(tS)
rollMean 49

rollMean Rolling Statistics

Description
Computes rolling mean, min, max and median for a ’timeSeries’ object.

Usage
rollStats(x, k, FUN=mean, na.pad=FALSE,
align=c("center", "left", "right"), ...)

rollMean(x, k, na.pad = FALSE,

align = c("center", "left", "right"), ...)
rollMin(x, k, na.pad = FALSE,
align = c("center", "left", "right"), ...)
rollMax(x, k, na.pad = FALSE,
align = c("center", "left", "right"), ...)
rollMedian(x, k, na.pad = FALSE,
align = c("center", "left", "right"), ...)

Arguments
x an uni- or multivariate ’timeSeries’ object.
k an integer width of the rolling window. Must be odd for rollMedian.
FUN the function to be rolled.
na.pad a logical flag. Should NA padding be added at beginning? By default FALSE.
align a character string specifying whether the index of the result should be left- or
right-aligned or centered compared to the rolling window of observations. The
default choice is set to align="center".
... optional arguments to be passed.

Details
The code in the core of the functions rollMean, rollMin, rollMax, and rollMedian was borrowed
from the package zoo authored by Achim Zeileis, Gabor Grothendieck and Felix Andrews.

Value
returns an object of class ’timeSeries’.

Author(s)
Achim Zeileis, Gabor Grothendieck and Felix Andrews for code from the contributed R package
zoo used in the functions rollMean, rollMin, rollMax, and rollMedian.
50 rowCum

Examples
## Use Swiss Pension Fund Data Set of Returns -
head(LPP2005REC)
SPI <- LPP2005REC[, "SPI"]
head(SPI)

## Plot Drawdowns -
rmean <- rollMean(SPI, k = 10)
plot(rmean)

rowCum Cumulated Column Statistics

Description

Compute cumulative row Statistics.

Usage

## S4 method for signature 'ANY'

rowCumsums(x, na.rm = FALSE, ...)
## S4 method for signature 'timeSeries'
rowCumsums(x, na.rm = FALSE, ...)

Arguments

na.rm a logical. Should missing values be removed?

x a time series, may be an object of class "matrix" or "timeSeries".
... arguments to be passed.

Value

all functions return an S4 object of class timeSeries.

Examples
## Simulated Monthly Return Data -
X = matrix(rnorm(24), ncol = 2)

## Compute cumulated Sums -

rowCumsums(X)
runlengths 51

runlengths Runlengths of a Time Series

Description

Computes runlengths of an univariate ’timeSeries’ object.

Usage

runlengths(x, ...)

Arguments

x an univariate time series of class ’timeSeries’.

... arguments to be passed.

Value

returns an object of class timeSeries.

Examples
## random time series -
set.seed(4711)
x <- rnorm(12)
tS <- timeSeries(data=x, charvec=timeCalendar(), units="x")
tS

## return runlengths -
runlengths(tS)

sample sample

Description

Takes a sample of the specified size from the elements of a ’timeSeries.

Value

Returns a resampled ’timeSeries’ object.

52 scale

Examples

## Monthly Calendar Series -

x <- daily2monthly(LPP2005REC[, 1:2])[3:14, ]

## Resample the Series with respect to the time stamps -

resampled <- sample(x)
resampled
is.unsorted(resampled)

scale scale

Description
Scales a ’timeSeries’ object.

Details
scale is a function to center and/or scale the columns of a ’timeSeries’ object.
The value of center determines how column centering is performed. If center is a numeric vector
with length equal to the number of columns of x, then each column of x has the corresponding
value from center subtracted from it. If center is TRUE then centering is done by subtracting the
column means (omitting NAs) of x from their corresponding columns, and if center is FALSE, no
centering is done.
The value of scale determines how column scaling is performed (after centering). If scale is a
numeric vector with length equal to the number of columns of x, then each column of x is divided
by the corresponding value from scale. If scale is TRUE then scaling is done by dividing the
(centered) columns of x by their standard deviations if center is TRUE, and the root mean square
otherwise. If scale is FALSE, no scaling is done.

Value
Returns a centered and/or scaled ’timeSeries’ object.

Examples

## Load Series:
x <- 100* LPP2005REC[, c("SBI", "SPI")]

## Scale and Center -

X <- scale(x)
hist(X[, 1], prob=TRUE)
s <- seq(-3, 3, length=201)
lines(s, dnorm(s), col="red")
series-methods 53

series-methods Get and Set Data of a ’timeSeries’

Description
series returns the @.Data slot of a timeSeries object in matrix form. New series can also be
assign to an already existing timeSeries.
coredata is a synonyme function nameing for series.

Usage

series(x)
series(x) <- value

Arguments
x a timeSeries object.
value a vector, a data.frame or a matrix object of numeric data.

See Also
timeSeries()

Examples
## A Dummy timeSeries Object
ts <- timeSeries()
ts

## Get the Matrix Part -

mat <- series(ts)
class(mat)
mat

## Assign a New Univariate Series -

series(ts) <- rnorm(12)
ts

## Assign a New Bivariate Series -

series(ts) <- rnorm(12)
ts
54 smooth

smooth Smoothes Time Series Objects

Description

Smoothes 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 increas-
ing 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

returns 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.

sort 55

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")

sort Sorting a ’timeSeries’ by Time Stamps

Description
Sorts a ’timeSeries’ object with respect to its time stamps.

Usage
## S4 method for signature 'timeSeries'
sort(x, decreasing = FALSE, ...)

Arguments
x an uni- or multivariate timeSeries object.
decreasing a logical flag. Should we sort in increasing or decreasing order? By default
FALSE.
... optional arguments passed to other methods.

Details
Sorts a time series either in increasing or decreasing time stamp order. Internally the function order
from R’s base packahe is used. order generates a permutation which rearranges the time stamps in
ascending or descending order.
To find out if the series is unsorted, the function is.unsorted from R’s base package can be called.
56 SpecialDailySeries

Value

Returns a sorted ’timeSeries’ object, which can be increasing or decreasing in time.

Examples

## Monthly Calendar Series -

x <- daily2monthly(LPP2005REC[, 1:2])[3:14, ]

## Resample the Series with respect to the time stamps -

resampled <- sample(x)
resampled
is.unsorted(resampled)

## Now sort the serie in decreasing time order -

sorted <- sort(resampled, , decreasing = TRUE)
sorted
is.unsorted(sorted)

## Is the reverted series ordered? -

reverted <- rev(sorted)
reverted
is.unsorted(reverted)

SpecialDailySeries Special Daily Time Series

Description

Special daily ’timeSeries’ functions.

Usage

dummyDailySeries(x = rnorm(365), units = NULL, zone = "",

FinCenter = "")
alignDailySeries(x, method = c("before", "after", "interp", "fillNA",
"fmm", "periodic", "natural", "monoH.FC"),
include.weekends = FALSE, units = NULL, zone = "",
FinCenter = "", ...)
rollDailySeries(x, period = "7d", FUN, ...)
SpecialDailySeries 57

Arguments
FinCenter a character with the the location of the financial center named as "continent/city".
FUN the function to be applied.
[applySeries] -
a function to use for aggregation, by default colAvgs.
include.weekends
[alignDailySeries] -
a logical value. Should weekend dates be included or removed from the series.
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".
period [rollDailySeries] -
a character string specifying the rollling period composed by the length of the
period and its unit, e.g. "7d" represents one week.
units [allignDailySeries] -
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.
x an object of class timeSeries.
zone the time zone or financial center where the data were recorded.
... arguments passed to interpolating methods.

Details

dummyDailySeries Creates a dummy daily ’timeSeries’ object,

alignDailySeries Aligns a daily ’timeSeries’ to new positions,
rollDailySeries Rolls daily a ’timeSeries’ on a given period,
ohlcDailyPlot Plots open high low close bar chart,
dummySeries Creates a dummy monthly ’timeSeries’ object

Value
dummyDailySeries
creates from a numeric matrix with daily records of unknown dates a timeSeries object with
dummy daily dates.

alignDailySeries
returns from a daily time series with missing holidays a weekly aligned daily timeSeries object

rollDailySeries
58 splits

returns an object of class timeSeries with rolling values, computed from the function FUN.

Examples
## Use Microsofts' OHLCV Price Series -
head(MSFT)
end(MSFT)

## Cut out April Data from 2001 -

Close <- MSFT[, "Close"]
tsApril01 <- window(Close, start="2001-04-01", end="2001-04-30")
tsApril01

## Align Daily Series with NA -

tsRet <- returns(tsApril01, trim = TRUE)
GoodFriday(2001)
EasterMonday(2001)
alignDailySeries(tsRet, method = "fillNA", include.weekends = FALSE)
alignDailySeries(tsRet, method = "fillNA", include.weekends = TRUE)

## Align Daily Series by Interpolated Values -

alignDailySeries(tsRet, method = "interp", include.weekend = FALSE)
alignDailySeries(tsRet, method = "interp", include.weekend = TRUE)

splits splits

Description
Searches for outlier splits in a ’timeSeries’ object.

Usage
splits(x, sd = 3, complement = TRUE, ...)

Arguments
x a ’timeSeries’ object.
sd a numeric value of standard deviations, e.g. 5 means that values larger or smaller
than five times the standard deviation of the series will be detected.
complement a logical flag, should the outlier series or its complements be returned?
... arguments to be passed.

Details
This function is thought to find splits in financial price or index series If a price or index is splitted
we observe in the returns a big jump of several standard deviations which is identified usual as an
outlier.
spreads 59

Examples
## Create a Return Series with a Split -
data <- runif(12, -1, 1)
data[6] <- 20
x <- timeSeries(data, timeCalendar(), units="RUNIF")
x

## Search for the Split:

splits(x, sd=3, complement=TRUE)
splits(x, sd=3, complement=FALSE)

spreads Spreads and Mid Quotes

Description
Compute spreads and midquotes from price streams.

Usage

spreads(x, which = c("Bid", "Ask"), tickSize = NULL)

midquotes(x, which = c("Bid", "Ask"))

midquoteSeries(...)
spreadSeries(...)

Arguments
tickSize the default is NULL to simply compute price changes in original price lev-
els. If ticksize is supplied, the price changes will be divided by the value of
inTicksOfSize to compute price changes in ticks.
which a vector with two character strings naming the column names of the time series
from which to compute the mid quotes and spreads. By default these are bid and
ask prices with column names c("Bid","Ask").
x an object of class timeSeries.
... arguments to be passed.

Value
all functions return an object of class timeSeries.

Note
The functions returnSeries, getReturns, midquoteSeries, spreadSeries are synonymes for
returns, midquotes, and spreads.
60 start

Examples
## Load the Microsoft Data -
setRmetricsOptions(myFinCenter = "GMT")
data(MSFT)
X = MSFT[1:10, ]
head(X)

## Compute Open/Close Midquotes -

X.MID <- midquotes(X, which = c("Close", "Open"))
colnames(X.MID) <- "X.MID"
X.MID

## Compute Open/Close Spreads -

X.SPREAD <- spreads(X, which = c("Close", "Open"))
colnames(X.SPREAD) <- "X.SPREAD"
X.SPREAD

start Start and End of a ’timeSeries’

Description
Returns start and/or end time stamps of a ’timeSeries’ object.

Usage
## S4 method for signature 'timeSeries'
start(x, ...)

## S4 method for signature 'timeSeries'

end(x, ...)

Arguments
x an uni- or multivariate timeSeries object.
... optional arguments passed to other methods.

Value
returns a timeSeries object.

Examples

## Create Dummy timeSeries -

tS <- dummySeries()[, 1]
tS
str-methods 61

## Return Start and end Time Stamp -

c(start(tS), end(tS))
range(time(tS))

str-methods timeSeries Object Structure

Description
Compactly display the structure of a ’timeSeries’ Object.

Usage
## S4 method for signature 'timeSeries'
str(object, ...)

Arguments
object an object of class timeSeries.
... arguments passed to other methods.

Value
returns a str report for an object of class timeSeries.

Examples
## Load Microsoft Data Set -
data(MSFT)
X <- MSFT[1:12, 1:4]
colnames(X) <- abbreviate(colnames(X), 4)

## Display Structure -
str(X)

t timeSeries Transpose

Description
Returns the transpose of a ’timeSeries’ object.

Usage
## S4 method for signature 'timeSeries'
t(x)
62 time

Arguments

x a ’timeSeries’ object.

Value

Returns a matrix object.

Examples
## Dummy timeSeries with NAs entries
data <- matrix(1:24, ncol = 2)
s <- timeSeries(data, timeCalendar())
s

## Transpose 'timeSeries' -
t(s)

time Get and Set Time stamps of a ’timeSeries’

Description

Functions and methods extracting and modifying positions of ’timeSeries’ objects.

Usage

getTime(x)
setTime(x) <- value

## S4 method for signature 'timeSeries'

time(x, ...)
## S3 replacement method for class 'timeSeries'
time(x) <- value

Arguments

value a valid value for the component of time(x).

x an object of class timeSeries.
... optional arguments passed to other methods.

Value

Returns a ’timeDate’ object.

timeSeries-method-stats 63

Examples

## Create Dummy timeSeries -

X <- timeSeries(matrix(rnorm(24), 12), timeCalendar())

## Return Series Positions -

getTime(X)
time(X)

## Add / Subtract one Day from X

setTime(X) <- time(X) - 24*3600 # sec
X
time(X) <- time(X) + 24*3600 # sec
X

timeSeries-deprecated Deprecated functions in timeSeries package

Description

seriesPositions Extracts positions slot from a ’timeSeries’,

newPositions<- Modifies positions of a ’timeSeries’ object,

timeSeries-method-stats
Time Series Correlations

Description
S4 methods of stats package for timeSeries objects.

cov Computes Covariance from a ’timeSeries’ object,

cor Computes Correlations from a ’timeSeries’ object.
dcauchy ...
dnorm ...
dt ...
64 TimeSeriesClass

Usage
## S4 method for signature 'timeSeries'
cov(x, y = NULL, use = "all.obs",
method = c("pearson", "kendall", "spearman"))

## S4 method for signature 'timeSeries'

cor(x, y = NULL, use = "all.obs",
method = c("pearson", "kendall", "spearman"))

Arguments
method a character string indicating which correlation coefficient (or covariance) is to
be computed. One of "pearson" (default), "kendall", or "spearman", can be
abbreviated.
use 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".
x an univariate object of class timeSeries.
y NULL (default) or a timeSeries object with compatible dimensions to x. The
default is equivalent to y = x (but more efficient).

Value
returns the covariance or correlation matrix.

Examples
## Load Microsoft Data Set -
data(MSFT)
X = MSFT[, 1:4]
X = 100 * returns(X)

## Compute Covariance Matrix -

cov(X[, "Open"], X[, "Close"])
cov(X)

TimeSeriesClass timeSeries Class

Description
Functions to generate and modify ’timeSeries’ objects:

timeSeries Creates a ’timeSeries’ object from scratch.

Data Slot and classification of ’timeSeries’ objects:

TimeSeriesClass 65

seriesData Extracts data slot from a ’timeSeries’.

Usage
timeSeries(data, charvec, units = NULL, format = NULL, zone = "",
FinCenter = "", recordIDs = data.frame(), title = NULL,
documentation = NULL, ...)

seriesData(object)

Arguments
charvec a character vector of dates and times or any objects which can be coerced to a
timeDate object.
data a matrix object or any objects which can be coereced to a matrix.
documentation optional documentation string, or a vector of character strings.
FinCenter a character with the the location of the financial center named as "continent/city".
format the format specification of the input character vector,
[as.timeSeries] -
a character string with the format in POSIX notation to be passed to the time
series object.
object [is][seriesData][seriesPositions][show][summary] - an object of class timeSeries.
recordIDs a data frame which can be used for record identification information.
[print] -
a logical value. Should the recordIDs printed together with the data matrix and
time series positions?
title an optional title string, if not specified the inputs data name is deparsed.
units 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.
zone the time zone or financial center where the data were recorded.
... arguments passed to other methods.

Details
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.
66 TimeSeriesClass

Value
timeSeries
returns a S4 object of class timeSeries.

seriesData

extracts the @.Data slot from a timeSeries object and is equivalent to as.amtrix.

Note
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.

Examples
## Load Microsoft Data -
# Microsoft Data:
setRmetricsOptions(myFinCenter = "GMT")
data(MSFT)
head(MSFT)

## Create a timeSeries Object, The Direct Way ...

Close <- MSFT[, 5]
head(Close)

## Create a timeSeries Object from Scratch -

data <- as.matrix(MSFT[, 4])
charvec <- rownames(MSFT)
Close <- timeSeries(data, charvec, units = "Close")
head(Close)
c(start(Close), end(Close))

## Cut out April Data from 2001 -

tsApril01 <- window(Close, "2001-04-01", "2001-04-30")
tsApril01

## Compute Continuous Returns -

returns(tsApril01)

## Compute Discrete Returns -

returns(tsApril01, type = "discrete")

## Compute Discrete Returns, Don't trim -

returns(tsApril01, trim = FALSE)

## Compute Discrete Returns, Use Percentage Values -

tsRet <- returns(tsApril01, percentage = TRUE, trim = FALSE)
tsRet

## Aggregate Weekly -
TimeSeriesSubsettings 67

GoodFriday(2001)
to <- timeSequence(from = "2001-04-11", length.out = 3, by = "week")
from <- to - 6*24*3600
from
to
applySeries(tsRet, from, to, FUN = sum)

## Create large timeSeries objects with different 'charvec' object classes -

# charvec is a 'timeDate' object
head(timeSeries(1:1e6L, timeSequence(length.out = 1e6L, by = "sec")))
head(timeSeries(1:1e6L, seq(Sys.timeDate(), length.out = 1e6L, by = "sec")))
# 'charvec' is a 'POSIXt' object
head(timeSeries(1:1e6L, seq(Sys.time(), length.out = 1e6L, by = "sec")))
# 'charvec' is a 'numeric' object
head(timeSeries(1:1e6L, 1:1e6L))

TimeSeriesData Time Series Data Sets

Description
Three data sets used in example files.
The data sets are:

LPP2005REC Swiss pension fund assets returns benchmark,

MSFT Daily Microsoft OHLC prices and volume,
USDCHF USD CHF intraday foreign exchange xchange rates.

Examples
## Plot LPP2005 Example Data Set -
data(LPP2005REC)
plot(LPP2005REC, type = "l")

## Plot MSFT Example Data Set -

data(MSFT)
plot(MSFT[, 1:4], type = "l")
plot(MSFT[, 5], type = "h")

## Plot USDCHF Example Data Set -

# plot(USDCHF)

TimeSeriesSubsettings Subsettig Time Series

68 TimeSeriesSubsettings

Description
Subset a ’timeSeries’ objects due to different aspects.

[ "[" method for a ’timeSeries’ object,

[<- "[<-" method to assign value for a subset of a ’timeSeries’ object,
window Windows a piece from a ’timeSeries’ object,
cut A no longer used synonyme for window,
head Returns the head of a ’timeSeries’ object,
tail Returns the tail of a ’timeSeries’ object,
outliers Removes outliers from a ’timeSeries’ object.

Usage

## S4 method for signature 'timeSeries'

window(x, start, end, ...)

## S4 method for signature 'timeSeries'

head(x, n = 6, recordIDs = FALSE, ...)
## S4 method for signature 'timeSeries'
tail(x, n = 6, recordIDs = FALSE, ...)

## S4 method for signature 'timeSeries'

outlier(x, sd = 3, complement = TRUE, ...)

## S4 method for signature 'timeSeries'

cut(x, from, to, ...)

Arguments
complement [outlierSeries] -
a logical flag, should the outler series or its complement be returns, by default
TRUE which returns the series free of outliers.
from, to starting date and end date, to must be after from.
start, end starting date and end date, end must be after start.
n [head][tail] -
an integer specifying the number of lines to be returned. By default n=6.
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.
turns 69

x an object of class timeSeries.

... arguments passed to other methods.

Value

All functions return an object of class ’timeSeries’.

Examples

## Create an Artificial timeSeries Object -

setRmetricsOptions(myFinCenter = "GMT")
charvec <- timeCalendar()
set.seed(4711)
data <- matrix(exp(cumsum(rnorm(12, sd = 0.1))))
tS <- timeSeries(data, charvec, units = "tS")
tS

## Subset Series by Counts "[" -

tS[1:3, ]

## Subset the Head of the Series -

head(tS, 6)

turns Turning Points of a Time Series

Description

Extracts and analyzes turn points of an univariate timeSeries object.

Usage

turns(x, ...)

turnsStats(x, doplot = TRUE)

Arguments

x an univariate ’timeSeries’ object of financial indices or prices.

... optional arguments passed to the function na.omit.
doplot a logical flag, should the results be plotted? By default TRUE.
70 turns

Details
The function turns determines the number and the position of extrema (turning points, either peaks
or pits) in a regular time series.
The function turnsStats calculates the quantity of information associated to the observations in
this series, according to Kendall’s information theory.
The functions are borrowed from the contributed R package pastecs and made ready for working
together with univariate timeSeries objects. You need not to load the R package pastecs, the
code parts we need here are builtin in the timeSeries package.
We have renamed the function turnpoints to turns to distinguish between the original function
in the contributed R package pastecs and our Rmetrics function wrapper.
For further details please consult the help page from the contributed R package pastecs.

Value
turns
returns an object of class timeSeries.
turnsStats
returns an object of class turnpoints with the following entries:
data - The dataset to which the calculation is done.
n - The number of observations.
points - The value of the points in the series, after elimination of ex-aequos.
pos - The position of the points on the time scale in the series (including ex-aequos).
exaequos - Location of exaequos (1), or not (0).
nturns - Total number of tunring points in the whole time series.
firstispeak - Is the first turning point a peak (TRUE), or not (FALSE).
peaks - Logical vector. Location of the peaks in the time series without ex-aequos.
pits - Logical vector. Location of the pits in the time series without ex-aequos.
tppos - Position of the turning points in the initial series (with ex-aequos).
proba - Probability to find a turning point at this location.
info - Quantity of information associated with this point.

Author(s)
Frederic Ibanez and Philippe Grosjean for code from the contributed R package pastecs and Rmet-
rics for the function wrapper.

References
Ibanez, F., 1982, Sur une nouvelle application de la theorie de l’information a la description des
series chronologiques planctoniques. J. Exp. Mar. Biol. Ecol., 4, 619–632
Kendall, M.G., 1976, Time Series, 2nd ed. Charles Griffin and Co, London.

Examples
## Load Swiss Equities Series -
SPI.RET <- LPP2005REC[, "SPI"]
units 71

head(SPI.RET)

## Cumulate and Smooth the Series -

SPI <- smoothLowess(cumulated(SPI.RET), f=0.05)
plot(SPI)

## Plot Turn Points Series -

SPI.SMOOTH <- SPI[, 2]
tP <- turns(SPI.SMOOTH)
plot(tP)

## Compute Statistics -
turnsStats(SPI.SMOOTH)

units Get and Set Unit Names of a ’timeSeries’

Description
Gets and sets the column names of a ’timeSeries’ object. The column names are also called units or
unit names.

Usage
getUnits(x)
setUnits(x) <- value

Arguments
x a ’timeSeries’ object.
value a vector of unit names.

See Also
timeSeries()

Examples
## A Dummy timeSeries Object
tS <- dummySeries()
tS

## Get the Units -

getUnits(tS)

## Assign New Units to the Series -

setUnits(tS) <- c("A", "B")
head(tS)
72 window

wealth Conversion of an index to wealth

Description
Converts an index series to a wealth series normalizing the starting value to one.

Usage
index2wealth(x)

Arguments
x an object of class ’timeSeries’.

Value
returns a time series object of the same class as the input argument x normalizing the starting value
to one.

Examples
## Load MSFT Open Prices -
INDEX <- MSFT[1:20, 1]
INDEX

## Compute Wealth Normalized to 100 -

100 * index2wealth(INDEX)

window window

Description
Extracts a part from a ’timeSeries Object

Examples
## Load LPP Benchmark Returns -
x <- LPP2005REC[, 7:9]
range(time(x))

## Extract Data for January 2006 -

window(x, "2006-01-01", "2006-01-31")
Index

∗Topic chron start, 60

aggregate-methods, 7 str-methods, 61
align-methods, 8 t, 61
apply, 9 time, 62
as, 11 timeSeries-method-stats, 63
attach, 13 TimeSeriesClass, 64
base-methods, 15 TimeSeriesSubsettings, 67
bind, 15 turns, 69
comment, 18 wealth, 72
cumulated, 19 window, 72
DataPart,timeSeries-method, 20 ∗Topic datasets
diff, 21 TimeSeriesData, 67
dimnames, 22 ∗Topic math
drawdowns, 23 na, 34
durations, 24 ∗Topic methods
is.timeSeries, 26 aggregate-methods, 7
isRegular, 27 align-methods, 8
isUnivariate, 28 math, 30
lag, 29 timeSeries-method-stats, 63
math, 30 ∗Topic package
merge, 31 timeSeries-package, 3
model.frame, 32 ∗Topic programming
monthly, 33 attributes, 14
orderColnames, 37 description, 20
orderStatistics, 39 finCenter, 25
periodical, 40 series-methods, 53
plot-methods, 41 units, 71
print-methods, 44 ∗Topic univar
rank, 45 colCum, 16
returns, 47 colStats, 17
rev, 48 rowCum, 50
rollMean, 49 +,timeSeries,missing-method (math), 30
runlengths, 51 -,timeSeries,missing-method (math), 30
sample, 51 [,timeSeries,ANY,index_timeSeries-method
scale, 52 (TimeSeriesSubsettings), 67
smooth, 54 [,timeSeries,character,character-method
sort, 55 (TimeSeriesSubsettings), 67
SpecialDailySeries, 56 [,timeSeries,character,index_timeSeries-method
spreads, 59 (TimeSeriesSubsettings), 67

73
74 INDEX

[,timeSeries,character,missing-method [<-,timeSeries,timeDate,ANY-method
(TimeSeriesSubsettings), 67 (TimeSeriesSubsettings), 67
[<-,timeSeries,timeDate,character-method
[,timeSeries,index_timeSeries,character-method
(TimeSeriesSubsettings), 67 (TimeSeriesSubsettings), 67
[<-,timeSeries,timeDate,index_timeSeries-method
[,timeSeries,index_timeSeries,index_timeSeries-method
(TimeSeriesSubsettings), 67 (TimeSeriesSubsettings), 67
[,timeSeries,index_timeSeries,missing-method [<-,timeSeries,timeDate,missing-method
(TimeSeriesSubsettings), 67 (TimeSeriesSubsettings), 67
[,timeSeries,matrix,index_timeSeries-method [<-,timeSeries,timeSeries,character-method
(TimeSeriesSubsettings), 67 (TimeSeriesSubsettings), 67
[,timeSeries,matrix,missing-method [<-,timeSeries,timeSeries,index_timeSeries-method
(TimeSeriesSubsettings), 67 (TimeSeriesSubsettings), 67
[,timeSeries,missing,character-method [<-,timeSeries,timeSeries,missing-method
(TimeSeriesSubsettings), 67 (TimeSeriesSubsettings), 67
[,timeSeries,missing,index_timeSeries-method $,timeSeries-method
(TimeSeriesSubsettings), 67 (TimeSeriesSubsettings), 67
[,timeSeries,missing,missing-method $<-,timeSeries,ANY,ANY-method
(TimeSeriesSubsettings), 67 (TimeSeriesSubsettings), 67
[,timeSeries,timeDate,character-method $<-,timeSeries,ANY,factor-method
(TimeSeriesSubsettings), 67 (TimeSeriesSubsettings), 67
[,timeSeries,timeDate,index_timeSeries-method$<-,timeSeries,ANY,numeric-method
(TimeSeriesSubsettings), 67 (TimeSeriesSubsettings), 67
[,timeSeries,timeDate,missing-method $<-,timeSeries,ANY-method
(TimeSeriesSubsettings), 67 (TimeSeriesSubsettings), 67
$<-,timeSeries,factor-method
[,timeSeries,timeSeries,index_timeSeries-method
(TimeSeriesSubsettings), 67
(TimeSeriesSubsettings), 67
$<-,timeSeries,numeric-method
[,timeSeries,timeSeries,missing-method
(TimeSeriesSubsettings), 67
(TimeSeriesSubsettings), 67
%*%,ANY,timeSeries-method (math), 30
[,timeSeries,time_timeSeries,ANY-method
%*%,timeSeries,ANY-method (math), 30
(TimeSeriesSubsettings), 67
%*%,timeSeries,vector-method (math), 30
[,timeSeries,time_timeSeries,character-method
(TimeSeriesSubsettings), 67 aggregate (aggregate-methods), 7
[,timeSeries,time_timeSeries,index_timeSeries-method
aggregate,timeSeries-method
(TimeSeriesSubsettings), 67 (aggregate-methods), 7
[,timeSeries,time_timeSeries,missing-method aggregate-methods, 7
(TimeSeriesSubsettings), 67 aggregate.timeSeries
[<-,timeSeries,character,ANY-method (aggregate-methods), 7
(TimeSeriesSubsettings), 67 align (align-methods), 8
[<-,timeSeries,character,character-method align,timeSeries-method
(TimeSeriesSubsettings), 67 (align-methods), 8
[<-,timeSeries,character,index_timeSeries-method
align-methods, 8
(TimeSeriesSubsettings), 67 alignDailySeries (SpecialDailySeries),
[<-,timeSeries,character,missing-method 56
(TimeSeriesSubsettings), 67 apply, 9
[<-,timeSeries,index_timeSeries,character-method
apply,timeSeries-method (apply), 9
(TimeSeriesSubsettings), 67 applySeries (apply), 9
[<-,timeSeries,matrix,character-method as, 11
(TimeSeriesSubsettings), 67 attach, 13
INDEX 75

attach,timeSeries-method (attach), 13 colMaxs (colStats), 17

attributes, 14 colMeans,timeSeries-method (colStats),
17
base-methods, 15 colMins (colStats), 17
bind, 15 colnames,timeSeries-method (dimnames),
22
cbind (bind), 15 colnames<-,timeSeries-method
cbind2 (bind), 15 (dimnames), 22
cbind2,ANY,timeSeries-method (bind), 15 colProds (colStats), 17
cbind2,timeSeries,ANY-method (bind), 15 colQuantiles (colStats), 17
cbind2,timeSeries,missing-method colSds (colStats), 17
(bind), 15
colSkewness (colStats), 17
cbind2,timeSeries,timeSeries-method
colStats, 17
(bind), 15
colStdevs (colStats), 17
coerce,ANY,timeSeries-method (as), 11
colSums,timeSeries-method (colStats), 17
coerce,character,timeSeries-method
colVars (colStats), 17
(as), 11
comment, 18
coerce,data.frame,timeSeries-method
comment,timeSeries-method (comment), 18
(as), 11
coerce,timeSeries,data.frame-method comment<-,timeSeries-method (comment),
(as), 11 18
coerce,timeSeries,list-method (as), 11 cor,timeSeries-method
coerce,timeSeries,matrix-method (as), 11 (timeSeries-method-stats), 63
coerce,timeSeries,ts-method (as), 11 cor-methods (timeSeries-method-stats),
coerce,timeSeries,tse-method (as), 11 63
coerce,ts,timeSeries-method (as), 11 coredata (series-methods), 53
colAvgs (colStats), 17 coredata,timeSeries-method
colCum, 16 (series-methods), 53
colCummaxs (colCum), 16 coredata<- (series-methods), 53
colCummaxs,matrix-method (colCum), 16 coredata<-,timeSeries,ANY-method
colCummaxs,timeSeries-method (colCum), (series-methods), 53
16 coredata<-,timeSeries,data.frame-method
colCummins (colCum), 16 (series-methods), 53
colCummins,matrix-method (colCum), 16 coredata<-,timeSeries,matrix-method
colCummins,timeSeries-method (colCum), (series-methods), 53
16 coredata<-,timeSeries,vector-method
colCumprods (colCum), 16 (series-methods), 53
colCumprods,matrix-method (colCum), 16 countMonthlyRecords (monthly), 33
colCumprods,timeSeries-method (colCum), cov,timeSeries-method
16 (timeSeries-method-stats), 63
colCumreturns (colCum), 16 cov-methods (timeSeries-method-stats),
colCumreturns,matrix-method (colCum), 16 63
colCumreturns,timeSeries-method cummax,timeSeries-method (math), 30
(colCum), 16 cummin,timeSeries-method (math), 30
colCumsums (colCum), 16 cumprod,timeSeries-method (math), 30
colCumsums,matrix-method (colCum), 16 cumsum,timeSeries-method (math), 30
colCumsums,timeSeries-method (colCum), cumulated, 19
16 cut,timeSeries-method
colKurtosis (colStats), 17 (TimeSeriesSubsettings), 67
76 INDEX

cut.timeSeries (TimeSeriesSubsettings), finCenter,timeSeries-method

67 (finCenter), 25
finCenter<-,timeSeries-method
daily (SpecialDailySeries), 56 (finCenter), 25
daily2monthly (aggregate-methods), 7 frequency,timeSeries-method
daily2weekly (aggregate-methods), 7 (isRegular), 27
DataPart,timeSeries-method, 20
dcauchy,timeSeries-method getAttributes (attributes), 14
(timeSeries-method-stats), 63 getDataPart,timeSeries-method
dcauchy-methods (DataPart,timeSeries-method),
(timeSeries-method-stats), 63 20
description, 20 getFinCenter (finCenter), 25
diff, 21 getReturns (returns), 47
diff,timeSeries-method (diff), 21 getTime (time), 62
dim,timeSeries-method (dimnames), 22 getUnits (units), 71
dim<-,timeSeries-method (dimnames), 22
dimnames, 22 hclustColnames (orderColnames), 37
dimnames,timeSeries-method (dimnames), head,timeSeries-method
22 (TimeSeriesSubsettings), 67
dimnames<-,timeSeries,list-method head.timeSeries
(dimnames), 22 (TimeSeriesSubsettings), 67
dnorm,timeSeries-method
index2wealth (wealth), 72
(timeSeries-method-stats), 63
index_timeSeries (TimeSeriesClass), 64
dnorm-methods
index_timeSeries-class
(timeSeries-method-stats), 63
(TimeSeriesClass), 64
documentation (attributes), 14
initialize,timeSeries-method
drawdowns, 23
(TimeSeriesClass), 64
drawdownsStats (drawdowns), 23
interpNA (na), 34
dt,timeSeries-method
is.na,timeSeries-method
(timeSeries-method-stats), 63
(is.timeSeries), 26
dt-methods (timeSeries-method-stats), 63
is.signalSeries (is.timeSeries), 26
dummyDailySeries (SpecialDailySeries),
is.timeSeries, 26
56
is.unsorted,timeSeries-method
dummySeries (SpecialDailySeries), 56 (is.timeSeries), 26
durations, 24 isDaily,timeSeries-method (isRegular),
durationSeries (durations), 24 27
isMonthly,timeSeries-method
end,timeSeries-method (start), 60 (isRegular), 27
end.timeSeries (start), 60 isMultivariate (isUnivariate), 28
endOfPeriod (periodical), 40 isQuarterly,timeSeries-method
endOfPeriodBenchmarks (periodical), 40 (isRegular), 27
endOfPeriodSeries (periodical), 40 isRegular, 27
endOfPeriodStats (periodical), 40 isRegular,timeSeries-method
(isRegular), 27
fapply (apply), 9 isUnivariate, 28
filter, 25
filter,timeSeries-method (filter), 25 lag, 29
finCenter, 25 lag,timeSeries-method (lag), 29
INDEX 77

lag.timeSeries (lag), 29 Ops,ts,timeSeries-method (math), 30

lines,timeSeries-method (plot-methods), Ops,vector,timeSeries-method (math), 30
41 orderColnames, 37
log,timeSeries-method (math), 30 orderStatistics, 39
LPP2005REC (TimeSeriesData), 67 outlier (TimeSeriesSubsettings), 67
outlier,ANY-method
math, 30 (TimeSeriesSubsettings), 67
Math,timeSeries-method (math), 30 outlier,timeSeries-method
Math2,timeSeries-method (math), 30 (TimeSeriesSubsettings), 67
mean,timeSeries-method (base-methods),
15 pcaColnames (orderColnames), 37
median,timeSeries-method (math), 30 periodical, 40
median.timeSeries (math), 30 plot (plot-methods), 41
merge, 31 plot,timeSeries-method (plot-methods),
merge,ANY,timeSeries-method (merge), 31 41
merge,matrix,timeSeries-method (merge), plot-methods, 41
31 points,timeSeries-method
merge,numeric,timeSeries-method (plot-methods), 41
(merge), 31 pretty.timeSeries (plot-methods), 41
merge,timeSeries,ANY-method (merge), 31 print,timeSeries-method
merge,timeSeries,matrix-method (merge), (print-methods), 44
31 print-methods, 44
merge,timeSeries,missing-method
(merge), 31 quantile,timeSeries-method (math), 30
merge,timeSeries,numeric-method quantile.timeSeries (math), 30
(merge), 31
merge,timeSeries,timeSeries-method rank, 45
(merge), 31 rank,timeSeries-method (rank), 45
midquotes (spreads), 59 rbind (bind), 15
midquoteSeries (spreads), 59 rbind2 (bind), 15
model.frame, 32, 32 rbind2,ANY,timeSeries-method (bind), 15
monthly, 33 rbind2,timeSeries,ANY-method (bind), 15
MSFT (TimeSeriesData), 67 rbind2,timeSeries,missing-method
(bind), 15
na, 34 rbind2,timeSeries,timeSeries-method
na.contiguous, 37 (bind), 15
na.contiguous,timeSeries-method readSeries, 46
(na.contiguous), 37 removeNA (na), 34
names,timeSeries-method (dimnames), 22 returns, 47
names<-,timeSeries-method (dimnames), 22 returns,ANY-method (returns), 47
newPositions<- (timeSeries-deprecated), returns,timeSeries-method (returns), 47
63 returns0 (returns), 47
returnSeries (returns), 47
Ops,array,timeSeries-method (math), 30 rev, 48
Ops,timeSeries,array-method (math), 30 rev,timeSeries-method (rev), 48
Ops,timeSeries,timeSeries-method rev.timeSeries (rev), 48
(math), 30 rollDailySeries (SpecialDailySeries), 56
Ops,timeSeries,ts-method (math), 30 rollMax (rollMean), 49
Ops,timeSeries,vector-method (math), 30 rollMean, 49
78 INDEX

rollMedian (rollMean), 49 show,timeSeries-method (print-methods),

rollMin (rollMean), 49 44
rollMonthlySeries (monthly), 33 smooth, 54
rollMonthlyWindows (monthly), 33 smoothLowess (smooth), 54
rollStats (rollMean), 49 smoothSpline (smooth), 54
rowCum, 50 smoothSupsmu (smooth), 54
rowCumsums (rowCum), 50 sort, 55
rowCumsums,ANY-method (rowCum), 50 sort,timeSeries-method (sort), 55
rowCumsums,timeSeries-method (rowCum), sort.timeSeries (sort), 55
50 sortColnames (orderColnames), 37
rownames,timeSeries-method (dimnames), SpecialDailySeries, 56
22 splits, 58
rownames<-,timeSeries,ANY-method spreads, 59
(dimnames), 22 spreadSeries (spreads), 59
rownames<-,timeSeries,timeDate-method start, 60
(dimnames), 22 start,timeSeries-method (start), 60
runlengths, 51 start.timeSeries (start), 60
statsColnames (orderColnames), 37
sample, 51 str (str-methods), 61
sample,timeSeries-method (time), 62 str,timeSeries-method (str-methods), 61
sampleColnames (orderColnames), 37 str-methods, 61
scale, 52 substituteNA (na), 34
sd,timeSeries-method Summary,timeSeries-method (math), 30
(timeSeries-method-stats), 63 summary,timeSeries-method
sd-methods (timeSeries-method-stats), 63 (base-methods), 15
series (series-methods), 53
series,timeSeries-method t, 61
(series-methods), 53 t,timeSeries-method (t), 61
series-methods, 53 tail,timeSeries-method
series<- (series-methods), 53 (TimeSeriesSubsettings), 67
series<-,timeSeries,ANY-method tail.timeSeries
(series-methods), 53 (TimeSeriesSubsettings), 67
series<-,timeSeries,data.frame-method time, 62
(series-methods), 53 time,timeSeries-method (time), 62
series<-,timeSeries,matrix-method time.timeSeries (time), 62
(series-methods), 53 time<- (time), 62
series<-,timeSeries,vector-method time_timeSeries (TimeSeriesClass), 64
(series-methods), 53 time_timeSeries-class
seriesData (TimeSeriesClass), 64 (TimeSeriesClass), 64
seriesPositions timeSeries (TimeSeriesClass), 64
(timeSeries-deprecated), 63 timeSeries,ANY,ANY-method
setAttributes<- (attributes), 14 (TimeSeriesClass), 64
setDataPart,timeSeries-method timeSeries,ANY,missing-method
(DataPart,timeSeries-method), (TimeSeriesClass), 64
20 timeSeries,ANY,timeDate-method
setFinCenter<- (finCenter), 25 (TimeSeriesClass), 64
setTime<- (time), 62 timeSeries,matrix,ANY-method
setUnits<- (units), 71 (TimeSeriesClass), 64
INDEX 79

timeSeries,matrix,missing-method
(TimeSeriesClass), 64
timeSeries,matrix,numeric-method
(TimeSeriesClass), 64
timeSeries,matrix,timeDate-method
(TimeSeriesClass), 64
timeSeries,missing,ANY-method
(TimeSeriesClass), 64
timeSeries,missing,missing-method
(TimeSeriesClass), 64
timeSeries,missing,timeDate-method
(TimeSeriesClass), 64
timeSeries-class (TimeSeriesClass), 64
timeSeries-deprecated, 63
timeSeries-method-stats, 63
timeSeries-package, 3
TimeSeriesClass, 64
TimeSeriesData, 67
TimeSeriesSubsettings, 67
trunc,timeSeries-method (math), 30
turns, 69
turnsStats (turns), 69

units, 71
USDCHF (TimeSeriesData), 67

var,timeSeries-method
(timeSeries-method-stats), 63
var-methods (timeSeries-method-stats),
63

wealth, 72
window, 72
window,timeSeries-method
(TimeSeriesSubsettings), 67
window.timeSeries
(TimeSeriesSubsettings), 67