timeSeriesClass {QRMlib}R Documentation

timeSeries Objects in R

Description

The R-language has developed multiple 'time-series' type objects through multiple contributors. The time-series objects in R-language closest to those in S-Plus appear to be those belonging to the timeSeries class described in fCalendar library from R-metrics. Dates and times are implemented as 'timeDate' objects wtihin 'timeSeries'. The class contains functions for the generation and representation of 'timeSeries' objects and mathematical operations on the objects.
Use timeSeries() as the constructor for the class.

Usage:
timeSeries(data, charvec, units=NULL, format="ISO", zone="GMT",
FinCenter=myFinCenter,
recordIDs=data.frame(),title=NULL, documentaion = NULL, ...)

Arguments

data a vector or matrix or data frame containing numeric values
charvec a character vector of dates and times
units (optional) character string allowing overwrite of current column names
format (optional) timeDate string format, defaulting to 'ISO'
zone (optional)time zone where the data were recorded
FinCenter location of financial center as Continent/City

Details

IMPORTANT INFORMATION: You can extract the DATE segment from a timeSeries object using
1) the seriesPosition function:(e.g. use seriesPositions(sp500))
2) the positions attribute (e.g. dates <- sp500@positions)

You can extract the NUMERIC segment from a timeSeries object using
1) the seriesData function (e.g. use seriesData(sp500))
2) the Data attribute (e.g. returns <- sp500@Data)

Value

a timeSeries object

Author(s)

documentation by Scott Ulman for R-language distribution

See Also

TimeSeriesClassRMetrics


[Package QRMlib version 1.4.4 Index]