On Thu, Feb 10, 2011 at 1:42 AM, Jiwon Kim <[email protected]> wrote: > Hello everyone, > > I'm wondering if operators for irregulary-spaced time series are available. > Examples are those inhomogenous operators introduced in "Operators on > *inhomogeneous > time > series*<http://www.bilokon.co.uk/archive/academic/papers/finance/Zumbach2000.pdf>" > by G. Zumbach et. al. > It seems that all of those operators are included in S+FinMetrics for > S-Plus, but cannot find any resources for R. > I was thinking of reading S+FinMetrics implementation, but I don't have an > access to S-Plus so don't know how I should proceed. > If no package is yet available, it would be nice to get some advice from you > experts where I should start. >
You can calculate various rolling quantities using rollapply in the zoo package. -- Statistics & Software Consulting GKX Group, GKX Associates Inc. tel: 1-877-GKX-GROUP email: ggrothendieck at gmail.com _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
