fBasics (version 4021.93)

BasicStatistics: Basic time series statistics

Description

Computes basic financial time series statististics.

List of Functions:

basicStats

Computes an overview of basic statistical values.

Usage

basicStats(x, ci = 0.95)

Value

a data frame with one column for each column of x and the following row names:

"nobs",

"NAs",

"Minimum",

"Maximum ",

"1. Quartile",

"3. Quartile",

"Mean",

"Median",

"Sum",

"SE Mean",

"LCL Mean",

"UCL Mean",

"Variance",

"Stdev",

"Skewness",

"Kurtosis".

Arguments

x

an object of class "timeSeries" or any other object which can be transformed by the function as.timeSeries into an object of class "timeSeries". The latter case, other than "timeSeries" objects, is more or less untested.

ci

confidence interval, a numeric value, by default 0.95, i.e. 95%.

Details

Computes a number of sample statistics for each column of x. The statistics should be clear from the row names of the returned data frame.

"LCL" and "UCL" stand for lower/upper confidence limits, computed under the null hypothesis of i.i.d.

"Kurtosis" represents the excess kurtosis, so its theoretical value for the normal distribution is zero, not 3.

These statistics are often computed as a first step in the study of returns on financial assets. In that case any inference on these statistics (including the confidence intervals for the mean) should be considered exploratory, since returns are virtually never i.i.d.

Examples

set.seed(1234)
## basicStats -
   # Simulated Monthly Return Data:
   tS = timeSeries(matrix(rnorm(12)), timeDate::timeCalendar())
   basicStats(tS)