[R-SIG-Finance] about periodicity data

Brian G. Peterson brian at braverock.com
Fri Oct 24 22:02:21 CEST 2008


Michael Sun wrote:
> Hi Guys,
> Does any one have  the experience on how to normalise(or we say
> standardise)the periodic data, for example, the attached data.

This looks a lot like seasonality.  Perhaps that could aid your searching,
as much has been written, including on this list, on dealing with
Seasonality of data in R.

Without looking, I recall that Shumway and Stoffer cover this topic.

R packages uroot, partsm, and ast may prove useful.  Also the base 'stats'
package contains the function decompose() and a few others for dealing
with seasonality.

Please report back so other can benefit from whatever you figure out.

Regards,

   - Brian



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