| FinTS-package {FinTS} | R Documentation |
R companion to Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley). Includes data sets, functions and script files required to work some of the examples. Version 0.2-x includes R objects for all data files used in the text and script files to recreate most of the analyses in chapters 1-3 and 9 plus parts of chapters 4 and 11.
| Package: | FinTS |
| Type: | Package |
| Version: | 0.3-3 |
| Date: | 2008-05-23 |
| License: | GPL (>= 2) |
| URL: | http://www.r-project.org |
| Depends: | zoo, graphics |
| Suggests: | fCalendar, moments, distrEx, tseries, urca, uroot, lmtest, sandwich, psych, GPArotation, fUtilities, chron, polynom, fUnitRoots, e1071 |
| Packaged: | Sat May 24 11:32:56 2008; spencerg |
| Built: | R 2.7.0; ; 2008-05-24 11:36:17; windows |
Index:
ARIMA Arima with Ljung-Box
Acf Autocorrelation Function
ArchTest ARCH LM Test
AutocorTest Box-Ljung autocorrelation test
FinTS.stats Financial Time Series summary statistics
TsayFiles List of the names of files downloaded from the
"Analysis of Financial Data" web site.
Unitroot unit root tests
apca Asymptotic PCA
as.yearmon2 Conditionally convert x to yearmon if the
conversion is unqique, retaining x as names.
ch01data financial time series for Tsay (2005, chapter
1[text])
compoundInterest compute compound interest
findConjugates Find complex conjugate pairs
package.dir Directory of a package
plot.loadings Plot loadings
plotArmaTrueacf plot the theoretical ACF corresponding to an
ARMA model
read.yearmon Reading Monthly zoo Series
runscript Run a package script
url2data Create local copies of files read from urls.
See the scripts subdirectory of the FinTS installation
directory = system.file(package='FinTS').
Corrections to the script files provided and contributions to script files for other chapters will be graciously accepted.
Spencer Graves
Maintainer: Spencer Graves <spencer.graves@prodsyse.com>
Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley)
http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2
~~ <pkg> ~~
# Where is the 'FinTS' directory? system.file(package='FinTS') # View the script file 'ch01.R', which is in the 'scripts' # subdirectory of the system.file(package='FinTS') directory: runscript(1, 'view') # SP statistics in Table 1.2 of Tsay data(d.ibmvwewsp6203) FinTS.stats(100*d.ibmvwewsp6203[, "SP"])