TimeSeriesClass {fSeries}R Documentation

timeSeries Class

Description

A collection and description of functions and methods dealing with regular and irregular 'timeSeries' objects. Dates and times are implemented as 'timeDate' objects. Included are functions and methods for the generation and representation of 'timeSeries' objects, and for mathematical operations.

Functions to generate and modify 'timeSeries' objects:

timeSeries Creates a 'timeSeries' object from scratch,
readSeries Reads a 'timeSeries' from a spreadsheet file,
applySeries Applies a function to margins of a 'timeSeries',
orderStatistics Computes order statistic of a 'timeSeries'.

Data Slot and classification of 'timeSeries' objects:

seriesData Extracts data slot from a 'timeSeries',
isUnivariate Tests if a 'timeSeries' object is univariate,
isMultivariate Tests if a 'timeSeries' object is multivariate.

Usage

timeSeries(data, charvec, units = NULL, format = NULL, zone = myFinCenter, 
    FinCenter = myFinCenter, recordIDs = data.frame(), title = NULL, 
    documentation = NULL, ...)   
readSeries(file, header = TRUE, sep = ";", zone = myFinCenter, 
    FinCenter = myFinCenter, title = NULL, documentation = NULL, ...)
 
applySeries(x, from = NULL, to = NULL, by = c("monthly", "quarterly"), 
    FUN = colAvgs, units = NULL, format = x@format, zone = x@FinCenter, 
    FinCenter = x@FinCenter, recordIDs = data.frame(), title = x@title,
    documentation = x@documentation, ...)
    
orderStatistics(x)

seriesData(object)
isUnivariate(x)
isMultivariate(x)

Arguments

by [applySeries] -
a character either "monthly" or "quarterly". The default value is "monthly". Only operative when both arguments from and to have ther default values NULL. In this case the function FUN will be applied to monthly or quarterly periods.
charvec a character vector of dates and times.
data a data.frame or a matrix object of numeric data.
documentation optional documentation string, or a vector of character strings.
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 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.
from, to starting date and end date, to must be after from.
FUN the function to be applied.
[applySeries] -
a function to use for aggregation, by default colAvgs.
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?
sep [readSeries] -
the field seperator used in the spreadsheet file to separate columns.
title an optional title string, if not specified the inputs data name is deparsed.
units [applySeries][lag][returnSeries][mergeSeries] -
an optional character string, which allows to overwrite the current column names of a timeSeries object. By default NULL which means that the column names are selected automatically.
[durationSeries] -
a character value or vector which allows to set the units in which the durations are measured. By default durations are measured in seconds.
x [as] -
a matrix type object to be converted.
[as.vector][as.matrix][as.data.frame] -
[applySeries] -
[cut][end][mergeSeries][plot][print][rev][start] -
an object of class timeSeries.
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.

Value

timeSeries
readSeries
returnSeries
applySeries
return a S4 object of class timeSeries.

orderStatistics
returns ...

seriesData

extracts the @Data slot from a timeSeries object. Thus, seriesData returns an object of class matrix.

isUnivariate
isMultivariate

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

plot
lines
points
print
plot and print methods for an object of class timeSeries.

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.

Author(s)

Diethelm Wuertz for the Rmetrics R-port.

Examples

## data -  
   # Microsoft Data: 
   myFinCenter <<- "GMT"
   MSFT = as.timeSeries(data(msft.dat))
   head(MSFT)

## timeSeries -  
   # Create a timeSeries Objec - The Direct Way ...
   Close = MSFT[, 5]
   head(Close)
   # From Scratch ...
   data = as.matrix(MSFT[, 4])
   charvec = rownames(MSFT)
   Close = timeSeries(data, charvec, units = "Close")
   head(Close)
   c(start(Close), end(Close))
    
## window  -    
   # Cut out April Data from 2001:
   tsApril01 = window(Close, "2001-04-01", "2001-04-30") 
   tsApril01

## returnSeries -  
   # Compute Returns:
   args(returnSeries)
   # Continuous Returns:
   returnSeries(tsApril01)
   # Discrete Returns:
   returnSeries(tsApril01, type = "discrete")
   # Don't trim:
   returnSeries(tsApril01, trim = FALSE)
   # Use Percentage Values:
   tsRet = returnSeries(tsApril01, percentage = TRUE, trim = FALSE)
   tsRet
     
## applySeries -   
   # 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)

[Package fSeries version 260.73 Index]