Rmetrics - Markets and Basic Statistics

Provides a collection of functions to explore and to investigate basic properties of financial returns and related quantities. The covered fields include techniques of explorative data analysis and the investigation of distributional properties, including parameter estimation and hypothesis testing. Even more there are several utility functions for data handling and management.


Reference manual

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3042.89.1 by Tobias Setz, 2 years ago


Browse source code at https://github.com/cran/fBasics

Authors: Diethelm Wuertz [aut] , Tobias Setz [cre] , Yohan Chalabi [ctb] Martin Maechler [ctb]

Documentation:   PDF Manual  

Task views: Probability Distributions, Empirical Finance

GPL (>= 2) license

Imports stats, grDevices, graphics, methods, utils, MASS, spatial, gss, stabledist

Depends on timeDate, timeSeries

Suggests akima, RUnit, tcltk

Imported by BLCOP, FarmSelect, Irescale, MARX, MTS, StableEstim, SuperPCA, iClick, jackstrap, modeest, sfaR, sicegar.

Depended on by HBSTM, LSMonteCarlo, distrRmetrics, fAsianOptions, fAssets, fBonds, fCertificates, fCopulae, fExoticOptions, fExtremes, fGarch, fMultivar, fNonlinear, fOptions, fPortfolio, fRegression, fTrading, fUnitRoots.

Suggested by ForeCA, JFE, alphastable, caschrono, cati, fitteR, lawstat, rattle, stabledist.

See at CRAN