Package: timeSeries 4041.111
Georgi N. Boshnakov
timeSeries: Financial Time Series Objects (Rmetrics)
'S4' classes and various tools for financial time series: Basic functions such as scaling and sorting, subsetting, mathematical operations and statistical functions.
Authors:
timeSeries_4041.111.tar.gz
timeSeries_4041.111.tar.gz(r-4.5-noble)timeSeries_4041.111.tar.gz(r-4.4-noble)
timeSeries_4041.111.tgz(r-4.4-emscripten)timeSeries_4041.111.tgz(r-4.3-emscripten)
timeSeries.pdf |timeSeries.html✨
timeSeries/json (API)
NEWS
| # Install 'timeSeries' in R: |
| install.packages('timeSeries', repos = 'https://cloud.r-project.org') |
Bug tracker:https://github.com/geobosh/timeseriesdoc/issues
Pkgdown site:https://geobosh.github.io
- LPP2005REC - Time series data sets
- MSFT - Time series data sets
- USDCHF - Time series data sets
Conda:r-timeseries-4041.111(2025-03-25)
Last updated 6 months agofrom:f8a8b00919. Checks:3 OK. Indexed: yes.
| Target | Result | Latest binary |
|---|---|---|
| Doc / Vignettes | OK | Mar 22 2025 |
| R-4.5-linux | OK | Mar 22 2025 |
| R-4.4-linux | OK | Mar 22 2025 |
Exports:.colorwheelPaletteaggregatealignalignDailySeriesapplyapplySeriesas.data.frameas.listas.matrixas.timeSeriesas.tsattachcbind2coercecolCummaxscolCumminscolCumprodscolCumreturnscolCumsumscolKurtosiscolMaxscolMeanscolMinscolnamescolnames<-colProdscolQuantilescolSdscolSkewnesscolStatscolSumscolVarscommentcomment<-coredata.timeSeriescoredata<-.timeSeriescountMonthlyRecordscumulateddaily2monthlydaily2weeklydescriptiondrawdownsdrawdownsStatsdummyDailySeriesdummyMonthlySeriesdurationsendendOfPeriodBenchmarksendOfPeriodSeriesendOfPeriodStatsfapplyfilterfinCenterfinCenter<-getAttributesgetFinCentergetReturnsgetTimegetUnitsgetUnits.defaulthclustColnamesheadindex2wealthinitializeinterpNAis.signalSeriesis.timeSeriesis.unsortedisDailyisMonthlyisMultivariateisQuarterlyisRegularisUnivariatelaglinesmedianmergemidquotesna.contiguousna.omitOpsorderColnamesorderStatisticsoutlierpcaColnamesplotpointsquantilerankrbind2readSeriesremoveNAreturnsreturns0rollDailySeriesrollMaxrollMeanrollMedianrollMinrollMonthlySeriesrollMonthlyWindowsrollStatsrowCumsumsrownamesrownames<-runlengthssampleColnamesseriesseries<-setAttributes<-setDataPartsetFinCenter<-setTime<-setUnits<-showsmoothLowesssmoothSplinesmoothSupsmusortColnamessplitsspreadsstartstatsColnamesstrsubstituteNAttailtimetime<-timeSeriesturnsturnsStatswindow
Dependencies:timeDate
Citation
To cite package ‘timeSeries’ in publications use:
Wuertz D, Setz T, Chalabi Y, Boshnakov GN (2024). timeSeries: Financial Time Series Objects (Rmetrics). R package version 4041.111, https://CRAN.R-project.org/package=timeSeries.
Corresponding BibTeX entry:
@Manual{,
title = {timeSeries: Financial Time Series Objects (Rmetrics)},
author = {Diethelm Wuertz and Tobias Setz and Yohan Chalabi and
Georgi N. Boshnakov},
year = {2024},
note = {R package version 4041.111},
url = {https://CRAN.R-project.org/package=timeSeries},
}
Readme and manuals
The R package 'timeSeries' provides a time series class and tools for creation, import, manipulation, statistical and financial computations on time series.
Package timeSeries is part of the Rmetrics suite of R packages and is developed on R-forge at
timeSeries.
The root of Rmetrics is at R-forge.
Installing timeSeries
Install the latest stable version of
timeSeries from CRAN:
install.packages("timeSeries")
You can install the
development version
of timeSeries from R-forge:
install.packages("timeSeries", repos = "http://R-Forge.R-project.org")
To report bugs visit Rmetrics.
Documentation
You can view the documentation of timeSeries at
timeSeriesDoc (an web site produce with pkgdown)
or download the
reference manual
of the latest release from CRAN. There is also a large
vignette on plots.
Help Manual
| Help page | Topics |
|---|---|
| Utilities and tools package | timeSeries-package |
| Aggregate time series | aggregate aggregate,timeSeries-method aggregate-methods aggregate.timeSeries |
| Align a 'timeSeries' object to equidistant time stamps | align align,timeSeries-method align-methods alignDailySeries daily2monthly daily2weekly |
| Apply functions over time windows | apply apply,timeSeries-method applySeries fapply rollDailySeries |
| Convert objects to/from class 'timeSeries' | as as.data.frame,timeSeries-method as.data.frame.timeSeries as.list,timeSeries-method as.list.timeSeries as.matrix,timeSeries-method as.matrix.timeSeries as.timeSeries as.timeSeries.character as.timeSeries.data.frame as.timeSeries.default as.timeSeries.ts as.timeSeries.zoo as.ts as.ts.timeSeries coerce,ANY,timeSeries-method coerce,character,timeSeries-method coerce,data.frame,timeSeries-method coerce,timeSeries,data.frame-method coerce,timeSeries,list-method coerce,timeSeries,matrix-method coerce,timeSeries,ts-method coerce,timeSeries,tse-method coerce,ts,timeSeries-method |
| Attach a 'timeSeries' to the search path | attach attach,timeSeries-method |
| Get and set optional attributes of a 'timeSeries' | attributes documentation getAttributes setAttributes<- |
| Bind 'timeSeries' objects by column or row | cbind cbind.timeSeries cbind2 cbind2,ANY,timeSeries-method cbind2,timeSeries,ANY-method cbind2,timeSeries,missing-method cbind2,timeSeries,timeSeries-method rbind rbind.timeSeries rbind2 rbind2,ANY,timeSeries-method rbind2,timeSeries,ANY-method rbind2,timeSeries,missing-method rbind2,timeSeries,timeSeries-method |
| Cumulated column statistics | colCum colCummaxs colCummaxs,matrix-method colCummaxs,timeSeries-method colCummins colCummins,matrix-method colCummins,timeSeries-method colCumprods colCumprods,matrix-method colCumprods,timeSeries-method colCumreturns colCumreturns,matrix-method colCumreturns,timeSeries-method colCumsums colCumsums,matrix-method colCumsums,timeSeries-method |
| Column statistics | colKurtosis colMaxs colMeans,timeSeries-method colMins colProds colQuantiles colSds colSkewness colStats colStdevs colSums,timeSeries-method colVars |
| Get and set comments for 'timeSeries' objects | comment comment,timeSeries-method comment<- comment<-,timeSeries-method |
| Cumulated time series from returns | cumulated cumulated.default |
| DataPart,timeSeries-method | getDataPart,timeSeries-method setDataPart,timeSeries-method |
| Creates date and user information | description |
| Difference a 'timeSeries' object | diff diff.timeSeries |
| Dimension and their names for 'timeSeries' objects | colnames,timeSeries-method colnames<-,timeSeries-method dim,timeSeries-method dim<-,timeSeries-method dimnames,timeSeries-method dimnames<-,timeSeries,list-method names,timeSeries-method names<-,timeSeries-method rownames,timeSeries-method rownames<-,timeSeries,ANY-method rownames<-,timeSeries,timeDate-method |
| Calculations of drawdowns | drawdowns drawdownsStats |
| Create dummy time series | dummyDailySeries dummyMonthlySeries dummySeries dummyTimeSeries |
| Durations from a 'timeSeries' | durations durationSeries |
| Linear filtering on a time series | filter filter,timeSeries-method |
| Get and set Financial center of a 'timeSeries' | finCenter finCenter,timeSeries-method finCenter<- finCenter<-,timeSeries-method getFinCenter setFinCenter<- |
| Check if an object is from class 'timeSeries' | is.signalSeries is.timeSeries |
| Checks if a time series is regular | frequency frequency,timeSeries-method frequency.timeSeries isDaily isDaily,timeSeries-method isDaily.timeSeries isMonthly isMonthly,timeSeries-method isMonthly.timeSeries isQuarterly isQuarterly,timeSeries-method isQuarterly.timeSeries isRegular isRegular,timeSeries-method isRegular.timeSeries |
| Checks if a time series is univariate | isMultivariate isUnivariate |
| Lag a 'timeSeries' object | lag lag.timeSeries |
| Mathematical operations on 'timeSeries' | cummax,timeSeries-method cummin,timeSeries-method cumprod,timeSeries-method cumsum,timeSeries-method log,timeSeries-method math Math,timeSeries-method Math2,timeSeries-method median median.timeSeries Ops,array,timeSeries-method Ops,timeSeries,array-method Ops,timeSeries,timeSeries-method Ops,timeSeries,ts-method Ops,timeSeries,vector-method Ops,ts,timeSeries-method Ops,vector,timeSeries-method quantile quantile.timeSeries Summary,timeSeries-method trunc,timeSeries-method |
| Merge 'timeSeries' objects | merge merge,ANY,ANY-method merge,ANY,timeSeries-method merge,matrix,timeSeries-method merge,numeric,timeSeries-method merge,timeSeries,ANY-method merge,timeSeries,matrix-method merge,timeSeries,missing-method merge,timeSeries,numeric-method merge,timeSeries,timeSeries-method merge-methods |
| Special monthly series | countMonthlyRecords monthly rollMonthlySeries rollMonthlyWindows |
| Handle missing values in 'timeSeries' objects | na na.omit na.omit.timeSeries |
| Find longest contiguous stretch of non-NAs or check for NAs | is.na is.na,timeSeries-method na.contiguous na.contiguous.timeSeries |
| Reorder column names of a time series | hclustColnames orderColnames pcaColnames sampleColnames sortColnames statsColnames |
| Order statistics | orderStatistics |
| End-of-Period series, stats, and benchmarks | endOfPeriod endOfPeriodBenchmarks endOfPeriodSeries endOfPeriodStats |
| Plot 'timeSeries' objects | lines lines,timeSeries-method plot plot,timeSeries-method points points,timeSeries-method pretty.timeSeries |
| Print 'timeSeries' objects | print.timeSeries show,timeSeries-method |
| Sample ranks of a time series | rank rank,timeSeries-method |
| Read a 'timeSeries' from a text file | readSeries |
| Financial returns | getReturns returns returns,ANY-method returns,timeSeries-method returns0 returnSeries |
| Reverse a 'timeSeries' | rev.timeSeries |
| Rolling statistics | rollMax rollMean rollMedian rollMin rollStats |
| Cumulative row statistics | rowCum rowCumsums rowCumsums,ANY-method rowCumsums,timeSeries-method |
| Runlengths of a time series | runlengths |
| Resample 'timeSeries' objects | sample sample,timeSeries-method |
| Center and scale 'timeSeries' objects | scale scale,timeSeries-method |
| Get and set the data component of a 'timeSeries' | coredata coredata.timeSeries coredata<- coredata<-.timeSeries series series,timeSeries-method series<- series<-,timeSeries,ANY-method series<-,timeSeries,data.frame-method series<-,timeSeries,matrix-method series<-,timeSeries,vector-method |
| Smooths time series objects | smoothLowess smoothSpline smoothSupsmu |
| Sort a 'timeSeries' by time stamps | is.unsorted is.unsorted,timeSeries-method is.unsorted.timeSeries sort sort.timeSeries |
| splits | splits |
| Spreads and mid quotes | midquotes midquoteSeries spreads spreadSeries |
| Start and end of a 'timeSeries' | end end.timeSeries start start.timeSeries |
| Display the structure of 'timeSeries' objects | str str-methods str.timeSeries |
| Transpose 'timeSeries' objects | t,timeSeries-method |
| Get and set time stamps of a 'timeSeries' | getTime setTime<- time time,timeSeries-method time.timeSeries time<- time<-.default time<-.timeSeries |
| Class 'timeSeries' in package timeSeries | initialize,timeSeries-method timeSeries-class |
| Base R functions applied to 'timeSeries' objects | cor-methods cov-methods sd-methods var-methods |
| Create objects from class 'timeSeries' | index_timeSeries index_timeSeries-class summary.timeseries timeSeries timeSeries,ANY,ANY-method timeSeries,ANY,missing-method timeSeries,ANY,timeDate-method timeSeries,matrix,ANY-method timeSeries,matrix,missing-method timeSeries,matrix,numeric-method timeSeries,matrix,timeDate-method timeSeries,missing,ANY-method timeSeries,missing,missing-method timeSeries,missing,timeDate-method TimeSeriesClass time_timeSeries time_timeSeries-class |
| Time series data sets | LPP2005REC MSFT TimeSeriesData USDCHF |
| Subsetting time series | $,timeSeries-method $<-,timeSeries,ANY-method $<-,timeSeries,factor-method $<-,timeSeries,numeric-method head head.timeSeries outlier outlier,ANY-method outlier,timeSeries-method tail tail.timeSeries TimeSeriesSubsettings [,timeSeries,ANY,index_timeSeries-method [,timeSeries,character,character-method [,timeSeries,character,index_timeSeries-method [,timeSeries,character,missing-method [,timeSeries,index_timeSeries,character-method [,timeSeries,index_timeSeries,index_timeSeries-method [,timeSeries,index_timeSeries,missing-method [,timeSeries,matrix,missing-method [,timeSeries,missing,character-method [,timeSeries,missing,index_timeSeries-method [,timeSeries,missing,missing-method [,timeSeries,timeDate,character-method [,timeSeries,timeDate,index_timeSeries-method [,timeSeries,timeDate,missing-method [,timeSeries,timeSeries,index_timeSeries-method [,timeSeries,timeSeries,missing-method [,timeSeries,time_timeSeries,ANY-method [,timeSeries,time_timeSeries,character-method [,timeSeries,time_timeSeries,index_timeSeries-method [,timeSeries,time_timeSeries,missing-method [<-,timeSeries,character,ANY-method [<-,timeSeries,character,missing-method [<-,timeSeries,timeDate,ANY-method [<-,timeSeries,timeDate,missing-method |
| Turning points of a time series | turns turnsStats |
| Get and set unit names of a 'timeSeries' | getUnits getUnits.default setUnits<- |
| Conversion of an index to wealth | index2wealth |
| Methods for 'window' in package 'timeSeries' | window window,timeSeries-method window.timeSeries |