| TimeSeriesClass {timeSeries} | R Documentation |
A collection and description of functions
and methods dealing with regular and irregular
'timeSeries' objects. Dates and times are
implemented as 'timeDate' objects.
Functions to generate and modify 'timeSeries' objects:
timeSeries | Creates a 'timeSeries' object from scratch. |
Data Slot and classification of 'timeSeries' objects:
seriesData | Extracts data slot from a 'timeSeries'. |
timeSeries(data, charvec, units = NULL, format = NULL, zone = "",
FinCenter = "", recordIDs = data.frame(), title = NULL,
documentation = NULL, ...)
seriesData(object)
charvec |
a character vector of dates and times or any objects which can
be coerced to a |
data |
a |
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,
|
object |
[is][seriesData][seriesPositions][show][summary] -
an object of class |
recordIDs |
a data frame which can be used for record identification
information. |
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 |
zone |
the time zone or financial center where the data were recorded. |
... |
arguments passed to other methods. |
Generation of Time Series Objects:
We have defined a timeSeries class which is in many aspects similar
to the S-Plus class with the same name, but has also some important
differences. The class has seven Slots, the 'Data' slot which holds
the time series data in matrix form, the 'position' slot which holds
the time/date as a character vector, the 'format' and 'FinCenter'
slots which are the same as for the 'timeDate' object, the 'units'
slot which holds the column names of the data matrix, and a 'title'
and a 'documentation' slot which hold descriptive character strings.
Date and time is managed in the same way as for timeDate objects.
timeSeries
returnSeries
return a S4 object of class timeSeries.
orderStatistics
returns ...
series
extracts the @.Data slot from a timeSeries object and
is equivalent to as.amtrix.
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.
## 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 -
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))