TimeSeriesClass           package:fSeries           R Documentation

_t_i_m_e_S_e_r_i_e_s _C_l_a_s_s

_D_e_s_c_r_i_p_t_i_o_n:

     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.

_U_s_a_g_e:

     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)

_A_r_g_u_m_e_n_t_s:

      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. 

_D_e_t_a_i_l_s:

     *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.

_V_a_l_u_e:

     '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'. 

_N_o_t_e:

     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.

_A_u_t_h_o_r(_s):

     Diethelm Wuertz for the Rmetrics R-port.

_E_x_a_m_p_l_e_s:

     ## 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)

