splits
Searches for outlier splits in a 'timeSeries' object.
splits(x, sd = 3, complement = TRUE, ...)
x |
a 'timeSeries' object. |
sd |
a numeric value of standard deviations, e.g. 5 means that values larger or smaller than five times the standard deviation of the series will be detected. |
complement |
a logical flag, should the outlier series or its complements be returned? |
... |
arguments to be passed. |
This function is thought to find splits in financial price or index series If a price or index is splitted we observe in the returns a big jump of several standard deviations which is identified usual as an outlier.
## Create a Return Series with a Split - data <- runif(12, -1, 1) data[6] <- 20 x <- timeSeries(data, timeCalendar(), units="RUNIF") x ## Search for the Split: splits(x, sd=3, complement=TRUE) splits(x, sd=3, complement=FALSE)
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