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Transform Time Series

Filter and transform time series objects, manage date math

Functions

boxcoxBox-Cox transformation
diffDifferencing
filltsFill missing values in time series
filterLinear filtering
lagtsLag time series object
leadtsLead time series object
peravgPeriodic average of FINTS object
resampletsDownsample data
smoothtsSmooth data
tsmovavg Moving average
convert2surConvert multivariate normal regression model to seemingly unrelated regression (SUR) model
converttoConvert to specified frequency
toannualConvert to annual
todailyConvert to daily
tomonthlyConvert to monthly
toquarterlyConvert to quarterly
tosemiConvert to semiannual
toweeklyConvert to weekly

Topics

Data Transformation and Frequency Conversion

Data transformation and frequency conversion functions convert a data series into a different format.

Using Time Series to Predict Equity Return

This example shows a practical use of financial time series objects, predicting the return of a stock from a given set of data.

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