On 02/10/2011 12:42 AM, Jiwon Kim 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.
It seems from a quick glance at the paper that all the metrics are
calculated not directly over irregular time series but rather some other
period is chosen to make them regular so that more traditional methods
may be applied.
xts has very good support for high frequency irregular series.
period.apply and to.period should allow you to homogenize (regularize)
the series in any way that is appropriate to your needs.
Most of the technical indicators (including EMA, used heavily by the
paper) are in the TTR package.
The kernel estimators look pretty simple, and proceed from the above.
there are also many kernel functions available in various R packages. I
didn't read the paper closely enough, nor did I search on places like
r-seek or RSiteSearch , for the specific kernel estimator used by the
authors of the paper.
Regards,
- Brian
--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
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