Time Series Specification, Manipulation, and Visualization in S-PLUS

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.