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Transform Time Series

Filter and transform time series objects, manage date math

Functions

boxcox Box-Cox transformation
diff Differencing
fillts Fill missing values in time series
filter Linear filtering
lagts Lag time series object
leadts Lead time series object
peravg Periodic average of FINTS object
resamplets Downsample data
smoothts Smooth data
tsmovavg Moving average
convert2sur Convert multivariate normal regression model to seemingly unrelated regression (SUR) model
convertto Convert to specified frequency
toannual Convert to annual
todaily Convert to daily
todecimal Fractional to decimal conversion
tomonthly Convert to monthly
toquarterly Convert to quarterly
toquoted Decimal to fractional conversion
tosemi Convert to semiannual
toweekly Convert 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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