Rdpack - Update and Manipulate Rd Documentation Objects
Functions for manipulation of R documentation objects, including functions reprompt() and ereprompt() for updating 'Rd' documentation for functions, methods and classes; 'Rd' macros for citations and import of references from 'bibtex' files for use in 'Rd' files and 'roxygen2' comments; 'Rd' macros for evaluating and inserting snippets of 'R' code and the results of its evaluation or creating graphics on the fly; and many functions for manipulation of references and Rd files.
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bibtexbibtex-referencescitationsdocumentationrd-formatroxygen2
13.94 score 34 stars 2.5k dependents 73 scripts 520k downloadsrbibutils - Read 'Bibtex' Files and Convert Between Bibliography Formats
Read and write 'Bibtex' files. Convert between bibliography formats, including 'Bibtex', 'Biblatex', 'PubMed', 'Endnote', and 'Bibentry'. Includes a port of the 'bibutils' utilities by Chris Putnam <https://sourceforge.net/projects/bibutils/>. Supports all bibliography formats and character encodings implemented in 'bibutils'.
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biblatexbibliographybibtexbibutilsconversionendnotepubmedris-format
12.39 score 18 stars 2.5k dependents 25 scripts 474k downloadstimeDate - Rmetrics - Chronological and Calendar Objects
The 'timeDate' class fulfils the conventions of the ISO 8601 standard as well as of the ANSI C and POSIX standards. Beyond these standards it provides the "Financial Center" concept which allows to handle data records collected in different time zones and mix them up to have always the proper time stamps with respect to your personal financial center, or alternatively to the GMT reference time. It can thus also handle time stamps from historical data records from the same time zone, even if the financial centers changed day light saving times at different calendar dates.
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10.48 score 1 stars 1.8k dependents 1.2k scripts 473k downloadstimeSeries - 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.
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9.62 score 2 stars 134 dependents 1.3k scripts 38k downloadsfBasics - Rmetrics - Markets and Basic Statistics
Provides a collection of functions to explore and to investigate basic properties of financial returns and related quantities. The covered fields include techniques of explorative data analysis and the investigation of distributional properties, including parameter estimation and hypothesis testing. Even more there are several utility functions for data handling and management.
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9.43 score 3 stars 120 dependents 1.5k scripts 33k downloadsuroot - Unit Root Tests for Seasonal Time Series
Seasonal unit roots and seasonal stability tests. P-values based on response surface regressions are available for both tests. P-values based on bootstrap are available for seasonal unit root tests.
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8.89 score 3 stars 14 dependents 626 scripts 9.9k downloadscvar - Compute Expected Shortfall and Value at Risk for Continuous Distributions
Compute expected shortfall (ES) and Value at Risk (VaR) from a quantile function, distribution function, random number generator or probability density function. ES is also known as Conditional Value at Risk (CVaR). Virtually any continuous distribution can be specified. The functions are vectorized over the arguments. The computations are done directly from the definitions, see e.g. Acerbi and Tasche (2002) <doi:10.1111/1468-0300.00091>. Some support for GARCH models is provided, as well.
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expected-shortfalllocations-scale-transformationsquantilequantile-functionsriskvalue-at-risk
8.34 score 6 stars 56 dependents 33 scripts 13k downloadsfGarch - Rmetrics - Autoregressive Conditional Heteroskedastic Modelling
Analyze and model heteroskedastic behavior in financial time series.
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8.12 score 8 stars 55 dependents 1.2k scripts 16k downloadsgbutils - Utilities for Simulation, Plots, Quantile Functions and Programming
Plot density and distribution functions with automatic selection of suitable regions. Numerically invert (compute quantiles) distribution functions. Simulate real and complex numbers from distributions of their magnitude and arguments. Optionally, the magnitudes and/or arguments may be fixed in almost arbitrary ways. Create polynomials from roots given in Cartesian or polar form. Small programming utilities: check if an object is identical to NA, count positional arguments in a call, set intersection of more than two sets, check if an argument is unnamed, compute the graph of S4 classes in packages.
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adjacency-matrixcomplex-numbersplotting-functionss4s4classsimulation
7.62 score 1 stars 62 dependents 34 scripts 13k downloadsFinTS - Companion to Tsay (2005) Analysis of Financial Time Series
R companion to Tsay (2005) Analysis of Financial Time Series, second edition (Wiley). Includes data sets, functions and script files required to work some of the examples. Version 0.3-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.
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6.12 score 4 stars 6 dependents 1.4k scripts 13k downloadssarima - Simulation and Prediction with Seasonal ARIMA Models
Functions, classes and methods for time series modelling with ARIMA and related models. The aim of the package is to provide consistent interface for the user. For example, a single function autocorrelations() computes various kinds of theoretical and sample autocorrelations. This is work in progress, see the documentation and vignettes for the current functionality. Function sarima() fits extended multiplicative seasonal ARIMA models with trends, exogenous variables and arbitrary roots on the unit circle, which can be fixed or estimated (for the algebraic basis for this see <arXiv:2208.05055>, a paper on the methodology is being prepared).
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arimakalman-filterreg-sarimasarimasarimaxseasonaltime-seriesxarimaopenblascpp
6.08 score 3 stars 1 dependents 122 scripts 1.1k downloadsCountr - Flexible Univariate Count Models Based on Renewal Processes
Flexible univariate count models based on renewal processes. The models may include covariates and can be specified with familiar formula syntax as in glm() and package 'flexsurv'. The methodology is described by Kharrat et all (2019) <doi:10.18637/jss.v090.i13> (included as vignette 'Countr_guide' in the package).
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count-datarenewal-processsports-modellingopenblascpp
5.69 score 4 stars 41 scripts 556 downloadslagged - Classes and Methods for Lagged Objects
Provides classes and methods for objects, whose indexing naturally starts from zero. Subsetting, indexing and mathematical operations are defined naturally between lagged objects and lagged and base R objects. Recycling is not used, except for singletons. The single bracket operator doesn't drop dimensions by default.
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4.96 score 2 dependents 15 scripts 1.0k downloadsmcompanion - Objects and Methods for Multi-Companion Matrices
Provides a class for multi-companion matrices with methods for arithmetic and factorization. A method for generation of multi-companion matrices with prespecified spectral properties is provided, as well as some utilities for periodically correlated and multivariate time series models. See Boshnakov (2002) <doi:10.1016/S0024-3795(01)00475-X> and Boshnakov & Iqelan (2009) <doi:10.1111/j.1467-9892.2009.00617.x>.
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eigen-vector-decompositionmatricesperiodictime-series
4.23 score 3 dependents 38 scripts 812 downloadspcts - Periodically Correlated and Periodically Integrated Time Series
Classes and methods for modelling and simulation of periodically correlated (PC) and periodically integrated time series. Compute theoretical periodic autocovariances and related properties of PC autoregressive moving average models. Some original methods including Boshnakov & Iqelan (2009) <doi:10.1111/j.1467-9892.2009.00617.x>, Boshnakov (1996) <doi:10.1111/j.1467-9892.1996.tb00281.x>.
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par-modelsperiodicperiodic-modelspiar-modelsseasonaltime-seriestime-series-models
4.18 score 3 stars 5 scripts 340 downloadsStableEstim - Estimate the Four Parameters of Stable Laws using Different Methods
Estimate the four parameters of stable laws using maximum likelihood method, generalised method of moments with finite and continuum number of points, iterative Koutrouvelis regression and Kogon-McCulloch method. The asymptotic properties of the estimators (covariance matrix, confidence intervals) are also provided.
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characteristic-functionsestimationsimulationstable-distribution
4.10 score 2 dependents 21 scripts 530 downloadsfUnitRoots - Rmetrics - Modelling Trends and Unit Roots
Provides four addons for analyzing trends and unit roots in financial time series: (i) functions for the density and probability of the augmented Dickey-Fuller Test, (ii) functions for the density and probability of MacKinnon's unit root test statistics, (iii) reimplementations for the ADF and MacKinnon Test, and (iv) an 'urca' Unit Root Test Interface for Pfaff's unit root test suite.
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3.32 score 1 stars 394 scripts 2.7k downloadsmixAR - Mixture Autoregressive Models
Model time series using mixture autoregressive (MAR) models. Implemented are frequentist (EM) and Bayesian methods for estimation, prediction and model evaluation. See Wong and Li (2002) <doi:10.1111/1467-9868.00222>, Boshnakov (2009) <doi:10.1016/j.spl.2009.04.009>), and the extensive references in the documentation.
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asymmetricheteroskedasticitymixture-autoregressivestudent-ttime-series
2.70 score 1 stars 8 scripts 301 downloadsfImport - Rmetrics - Importing Economic and Financial Data
Provides a collection of utility functions to download and manage data sets from the Internet or from other sources.
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2.44 score 64 scripts 4.3k downloads