[Highfrequency-commits] r23 - pkg/highfrequency/man

[noreply at r-forge.r-project.org]

Author: jonathan
Date: 2012-07-18 00:03:01 +0200 (Wed, 18 Jul 2012)
New Revision: 23

Removed:
   pkg/highfrequency/man/rSignature.Rd
Log:
removed redundant docs

Deleted: pkg/highfrequency/man/rSignature.Rd
===================================================================
--- pkg/highfrequency/man/rSignature.Rd	2012-07-17 20:17:33 UTC (rev 22)
+++ pkg/highfrequency/man/rSignature.Rd	2012-07-17 22:03:01 UTC (rev 23)
@@ -1,71 +0,0 @@
-\name{rSignature}
-\alias{rSignature}
-
-\title{ Signature Plots}
-\description{
-Creates realized variance, covariance, and correlation plots for one or multiple days for each type of estimator.
-}
-\usage{
-rSignature(range, x, y=NULL, type="naive", cor = FALSE, rvargs = list(), align.by="seconds", align.period =1,xscale=1,  plotit=FALSE, cts=TRUE, makeReturns=FALSE, iteration.funct=NULL, iterations=NULL, lags=NULL)
-}
-%- maybe also 'usage' for other objects documented here.
-\arguments{ 
-  \item{range}{  x axis of signature plot (inputs for realized estimator)}
-  \item{x}{Tick data in xts object.}
-   \item{y}{Tick data in xts object.}
-    \item{align.by}{Align the tick data to seconds|minutes|hours}
-    \item{align.period}{Align the tick data to this many [seconds|minutes|hours]}
-  \item{cts}{ Create calendar time sampling if a non realizedObject is passed}
-  \item{makeReturns}{ Prices are passed make them into log returns}
-  \item{type}{ Type of realized estimator to use, a rv. or rc. is appended to this value and that function is called }
-  \item{cor}{ T for correlation }
-  \item{rvargs}{ List of extra parameters to pass into rv.* or rc.* }
-  \item{xscale}{ value to multiply range by for x axis (see below) }
-  \item{iteration.funct}{Deprecated }
-  \item{iterations}{ Deprecated }
-  \item{lags}{Deprecated}
-  \item{plotit}{ T for plot }
-}
-\details{
-Creates a list that contains an x and y value that is used for plotting a signature plot.  
-}
-\value{
-List containing:
-  \item{x }{  x axis of signature plot (range * xscale)}
-  \item{y }{  Realized variance or covariance}
-  \item{type }{  type of estimator used for calculation}
-  \item{cor }{  is this a correlation signture}
-  \item{cov }{  it this realized covariance}
-}
-\references{
-T.G. Andersen, T. Bollerslev, F.X. Diebold, and P. Labys. Great realizations. \emph{Risk}, 13:105 108, 2000.
-
-Y. Fang. Volatility modeling and estimation of high-frequency data with gaussian noise. \emph{unpublished doctoral
-thesis, MIT, Sloan School of Management}, 1996.
-
-J. E. Griffen and R. C. A. Oomen. Covariance measurement in the presence of non-synchronous trading and
-market microstructure noise. \emph{Working Paper}, June 27th, 2006.
-
-S. W. Payseur.  A One Day Comparison of Realized Variance and Covariance Estimators. \emph{Working Paper: University 
-of Washington}, 2007
-}
-
-\author{ Scott Payseur <spayseur at u.washington.edu>}
-
-\seealso{ \code{\link{rRealizedVariance}} }
-\examples{
-data(sbux.xts)
-data(lltc.xts)
- 
- test.cov <- rSignature((0:119)*10+1,x=sbux.xts, y=lltc.xts, xscale=1/60) 
- test.rect <- rSignature((1:60)*10+1,x=sbux.xts, y=lltc.xts,type="kernel",rvargs=list(kernel.type="rectangular"), xscale=1/30)
- test.mth <- rSignature((1:60)*10+1,x=sbux.xts, y=lltc.xts,type="kernel",rvargs=list(kernel.type="mth"), xscale=1/30)
- plot(test.cov, ylab="Realized Covariance", xlab="Minutes", main="SBUX | LLTC") 
- lines(test.rect, col=3, lwd=1) 
- lines(test.mth, col=4, lwd=2) 
- axis(3, c(0,(1:5)*4), c("Lags:",as.character((1:5)*120)))
- legend("bottomright",c("Rectangular", "Mod TH"), lwd=c(1,2), col=c(3,4)) 
-}
-
-
-\keyword{methods}
\ No newline at end of file