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.

Last updated 8 days ago

bibtexbibtex-referencescitationsdocumentationrd-formatroxygen2

12.56 score 28 stars 823 packages 91 scripts 97k downloads

rbibutils - 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'.

Last updated 11 days ago

biblatexbibliographybibtexbibutilsconversionendnotepubmedris-format

10.83 score 13 stars 824 packages 14 scripts 100k downloads

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.

Last updated 2 months ago

10.26 score 2 stars 144 packages 1.2k scripts 44k downloads

timeDate - 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.

Last updated 2 months ago

9.67 score 1 stars 682 packages 848 scripts 267k downloads

fBasics - 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.

Last updated 3 months ago

9.56 score 2 stars 128 packages 1.2k scripts 40k downloads

fGarch - Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

Analyze and model heteroskedastic behavior in financial time series.

Last updated 8 months ago

8.60 score 6 stars 50 packages 1.1k scripts 14k downloads

uroot - 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.

Last updated 7 months ago

8.36 score 2 stars 11 packages 480 scripts 4.8k downloads

cvar - 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.

Last updated 2 years ago

expected-shortfalllocations-scale-transformationsquantilequantile-functionsriskvalue-at-risk

8.08 score 6 stars 51 packages 27 scripts 9.7k downloads

gbutils - 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.

Last updated 2 years ago

adjacency-matrixcomplex-numbersplotting-functionss4s4classsimulation

7.35 score 1 stars 55 packages 29 scripts 9.4k downloads

sarima - 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).

Last updated 8 months ago

arimakalman-filterreg-sarimasarimasarimaxseasonaltime-seriesxarima

6.76 score 3 stars 1 packages 109 scripts 1.5k downloads

FinTS - 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.

Last updated 10 months ago

5.97 score 4 stars 6 packages 972 scripts 6.7k downloads

Countr - 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). If the suggested package 'pscl' is not available from CRAN, it can be installed with 'remotes::install_github("cran/pscl")'. It is no longer used by the functions in this package but is needed for some of the extended examples.

Last updated 10 months ago

count-datarenewal-processsports-modelling

5.70 score 4 stars 42 scripts 744 downloads

lagged - 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.

Last updated 3 years ago

4.70 score 2 packages 13 scripts 1.3k downloads

mcompanion - 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>.

Last updated 12 months ago

eigen-vector-decompositionmatricesperiodictime-series

4.05 score 2 packages 37 scripts 815 downloads

pcts - 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>.

Last updated 12 months ago

par-modelsperiodicperiodic-modelspiar-modelsseasonaltime-seriestime-series-models

4.00 score 2 stars 3 scripts 338 downloads

StableEstim - 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.

Last updated 30 days ago

characteristic-functionsestimationsimulationstable-distribution

3.73 score 2 packages 18 scripts 853 downloads

mixAR - 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.

Last updated 29 days ago

assymetricheteroskedasticitymixture-autoregressivestudent-ttime-series

2.70 score 1 stars 6 scripts 308 downloads