Abstract
Time series data may be stored, manipulated and visualized in a variety of ways in S-PLUS1. This chapter discusses the basics of working with financial time series data in the form of S-PLUS “timeSeries” objects. It begins with a discussion of the specification of “timeSeries” and “timeDate” objects in S-PLUS and gives examples of how to specify common “timeDate” sequences for financial time series. Basic manipulations of financial time series are discussed and illustrated. These manipulations include aggregating and disaggregating time series, handling of missing values, creations of lags and differences and asset return calculations. The chapter ends with an overview of time series visualization tools and techniques, including the S-PLUS plotting functions for “timeSeries” as well as specialized plotting functions in S+FinMetrics.
Chapters 25–27 in the S-PLUS Guide to Statistic (Vol. II) discusses the analysis of time series in S-PLUS.
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2.5 References
Chow, G., and Lin, A. (1971). “Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series,” Review of Economics & Statistics, 53, 372–375.
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© 2006 Springer Science+Business Media, Inc.
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(2006). Time Series Specification, Manipulation, and Visualization in S-PLUS. In: Modeling Financial Time Series with S-PLUS®. Springer, New York, NY. https://doi.org/10.1007/978-0-387-32348-0_2
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DOI: https://doi.org/10.1007/978-0-387-32348-0_2
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-27965-7
Online ISBN: 978-0-387-32348-0
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