The update formula | Vector Moments | The output | Running Moments
Package: fromo 0.2.4
fromo: Fast Robust Moments
Fast, numerically robust computation of weighted moments via 'Rcpp'. Supports computation on vectors and matrices, and Monoidal append of moments. Moments and cumulants over running fixed length windows can be computed, as well as over time-based windows. Moment computations are via a generalization of Welford's method, as described by Bennett et. (2009) <doi:10.1109/CLUSTR.2009.5289161>.
Authors:
fromo_0.2.4.tar.gz
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manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
fromo/json (API)
| # Install 'fromo' in R: |
| install.packages('fromo', repos = c('https://shabbychef.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/shabbychef/fromo/issues
cumulantsmomentsrolling-statisticsstatisticscpp
Last updated from:b4c89f2513. Checks:13 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 232 | ||
| linux-devel-x86_64 | OK | 195 | ||
| source / vignettes | OK | 379 | ||
| linux-release-arm64 | OK | 278 | ||
| linux-release-x86_64 | OK | 235 | ||
| macos-release-arm64 | OK | 201 | ||
| macos-release-x86_64 | OK | 330 | ||
| macos-oldrel-arm64 | OK | 230 | ||
| macos-oldrel-x86_64 | OK | 346 | ||
| windows-devel | OK | 237 | ||
| windows-release | OK | 273 | ||
| windows-oldrel | OK | 241 | ||
| wasm-release | OK | 136 |
Exports:%-%as.centcosumsas.centcosums.defaultas.centsumsas.centsums.defaultc.centcosumsc.centsumscent_comomentscent_cosumscent_cumulantscent_momentscent_sumscent2rawcentcosumscentsumscomomentscosumsjoin_cent_cosumsjoin_cent_sumskurt5momentsrunning_apx_medianrunning_apx_quantilesrunning_cent_momentsrunning_centeredrunning_correlationrunning_covariancerunning_covariance_3running_cumulantsrunning_kurtrunning_kurt5running_meanrunning_regression_diagnosticsrunning_regression_fitrunning_regression_interceptrunning_regression_sloperunning_scaledrunning_sdrunning_sd3running_sharperunning_skewrunning_skew4running_std_momentsrunning_sumrunning_tstatrunning_zscoredsd3showskew4std_cumulantsstd_momentssumst_running_apx_mediant_running_apx_quantilest_running_cent_momentst_running_centeredt_running_correlationt_running_covariancet_running_covariance_3t_running_cumulantst_running_kurtt_running_kurt5t_running_meant_running_regression_diagnosticst_running_regression_fitt_running_regression_interceptt_running_regression_slopet_running_scaledt_running_sdt_running_sd3t_running_sharpet_running_skewt_running_skew4t_running_std_momentst_running_sumt_running_tstatt_running_zscoredunjoin_cent_cosumsunjoin_cent_sums
Dependencies:Rcpp
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Fast Robust Moments. | fromo-package fromo |
| unconcatenate centsums objects. | %-% %-%,centsums,centsums-method |
| unconcatenate centcosums objects. | %-%,centcosums,centcosums-method |
| Accessor methods. | accessor moments moments,centsums-method sums sums,centsums-method |
| Coerce to a centcosums object. | as.centcosums as.centcosums.default |
| Coerce to a centsums object. | as.centsums as.centsums.default |
| concatenate centcosums objects. | c.centcosums |
| concatenate centsums objects. | c.centsums |
| Multivariate centered sums; join and unjoined. | cent_comoments cent_cosums join_cent_cosums unjoin_cent_cosums |
| Centered sums; join and unjoined. | cent_sums join_cent_sums unjoin_cent_sums |
| Convert between different types of moments, raw, central, standardized. | cent2raw |
| Accessor methods. | centcosums-accessor comoments comoments,centcosums-method cosums cosums,centcosums-method sums,centcosums-method |
| centcosums Class. | centcosums centcosums-class initialize,centcosums-class initialize,centcosums-method |
| centsums Class. | centsums centsums-class initialize,centsums-class initialize,centsums-method |
| News for package 'fromo': | fromo-NEWS |
| Compute approximate quantiles over a sliding window | running_apx_median running_apx_quantiles |
| Compare data to moments computed over a sliding window. | running_centered running_scaled running_sharpe running_tstat running_zscored |
| Compute covariance, correlation, regression over a sliding window | running_correlation running_covariance running_covariance_3 running_regression_diagnostics running_regression_fit running_regression_intercept running_regression_slope |
| Compute first K moments over a sliding window | running_cent_moments running_cumulants running_kurt running_kurt5 running_sd running_sd3 running_skew running_skew4 running_std_moments |
| Compute sums or means over a sliding window. | running_mean running_sum |
| Compute first K moments | cent_cumulants cent_moments kurt5 sd3 skew4 std_cumulants std_moments |
| Show a centsums object. | show show,centsums-method |
| Compute approximate quantiles over a sliding time window | t_running_apx_median t_running_apx_quantiles |
| Compare data to moments computed over a time sliding window. | t_running_centered t_running_scaled t_running_sharpe t_running_tstat t_running_zscored |
| Compute covariance, correlation, regression over a sliding time-based window | t_running_correlation t_running_covariance t_running_covariance_3 t_running_regression_diagnostics t_running_regression_fit t_running_regression_intercept t_running_regression_slope |
| Compute first K moments over a sliding time-based window | t_running_cent_moments t_running_cumulants t_running_kurt t_running_kurt5 t_running_sd t_running_sd3 t_running_skew t_running_skew4 t_running_std_moments |
| Compute sums or means over a sliding time window. | t_running_mean t_running_sum |
