descritive.SlidingWindows {SlidingWindows} | R Documentation |
This function generates descriptive statistics of a univariate time series with sliding windows approach.
descritive.SlidingWindows(y, w = 99, skewness = "moment", kurtosis = "moment")
y |
A vector containing univariate time series. |
w |
An integer value indicating the window size |
skewness |
A non-numeric value. See PerformanceAnalytics package. |
kurtosis |
A non-numeric value. See PerformanceAnalytics package. |
This function include following measures: min, max, mean, median, standard deviation, skewness and kurtosis.
A list containing "w", "min","max","mean", "median", "standard deviation","skewness" and "kurtosis".
Guedes, E.F. Modelo computacional para análise de movimentos e co-movimentos de mercados financeiros, Ph.D. thesis, Programa de Pós-graduação em Modelagem Computacional e Tecnologia Industrial. Centro Universitário Senai Cimatec, 2019.
y <- rnorm(100)
descritive.SlidingWindows(y, w=99, skewness="moment", kurtosis="moment")