A few years back I wrote an iEMA.kernel function in R to attempt to get the inhomgenous stuff into R. Josh (TTR) and I discussed adding it in, and had chatted with Eric Zivot about it (2009??) -- since, if I recall, he authored the original S+ version.
My issue was a lack of data to compare output. I think I was trying to use the limited output from Eric's book and the user manual - and that wasn't really the best way to go. If someone has the interest to test output from R functions against the known output from S+Finmetrics or some other software implementation, I'd could likely dig up the code I wrote. I'd likely aim to add this into TTR or some offshoot package. There are some other issues that may make this a non-starter, but anyone interested can certainly contact me. Best, Jeff On Thu, Feb 10, 2011 at 7:58 AM, Brian G. Peterson <[email protected]> wrote: > 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 > > _______________________________________________ > [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. > -- Jeffrey Ryan [email protected] www.lemnica.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.
