[R-SIG-Finance] financial series: waveslim, brainwaver, wavetresh and fractal

[spencerg]

Hello, Steve: 


      I see two options: 


           1.  Send an email to the package authors / mainteners to ask 
about the status.  I found an email address using 
"RSiteSearch('WaveCGH')".  If that email fails, you could try to find 
them via Google. 


           2.  You cited a web page that stated that, "Package ‘WaveCGH’ 
was removed from the CRAN repository."  That web page also says, 
"Formerly available versions can be obtained from the archive." If you 
click on the word "archive", it should take you to a web page from which 
you can download "WaveCGH_2.01.tar.gz".  This is a source file for the 
package.  With this, you can try "R CMD INSTALL WaveCGH_2.01.tar.gz" at 
a commands prompt.  This will work under Windows IF you have Rtools 
installed, and I believe it will work under Linux.  From within R, I 
believe "install.packages('WaveCGH_2.01.tar.gz')" may also work.  If 
that fails, you could try another post to this list. 


      Hope this helps. 
      Spencer Graves


stvienna wiener wrote:
> Hello Spencer,
>
>
> thank you for your reply.
>
> I tried to install the package "WaveCGH" today, however I got an error.
>
>   
>> install.packages("WaveCGH")
>>     
>
> In getDependencies(pkgs, dependencies, available, lib) :
>   package ‘WaveCGH’ is not available
>
>
> Its somehow strange, because on the R-Website:
> http://cran.r-project.org/web/packages/WaveCGH/
>
> It is written:
> "Package ‘WaveCGH’ was removed from the CRAN repository."
>
> So I think the possibilities are:
> a) the package was remove from CRAN
> b) there are some dependencies. But I installed the newest R version!
> c) I spelled the package wrong (e.g. small/capital letters )
>
>
> Do you have maybe an idea?
>
>
> Currently I am planning to use the following packages:
>   library(R.utils)
>
>   library(tseries)
>   library(wmtsa)        #Wavelets
>   library(waveslim)     #Wavelet Correlation
>   library(brainwaver)   #Wavelet Correlation
>
>   library(QRMlib)       # time series plotting
>
>    library(wavethresh)  # wavelet thresholding
>    library(CVThresh)    # wavelet thresholding
>
>
> Any suggestions welcome ;-)
>
> Regards,
> Steve
>
>
>
> 2009/7/12 spencerg <spencer.graves at prodsyse.com>:
>   
>> I can't help you directly, but have you tried "RSiteSearch.function" in the
>> "RSiteSearch" package?  Consider the following:
>>
>> library(RSiteSearch)
>>
>> fcp <- RSiteSearch.function('fractal changepoint')
>> fcps <- RSiteSearch.function('fractal changepoints')
>>
>> wcp <- RSiteSearch.function('wavelet changepoint')
>> wcps <- RSiteSearch.function('wavelet changepoints')
>> HTML(wcp)
>>
>>
>>     This sequence returned 1 match for the third query, and HTML(wcp)
>> displayed that match in a web browser with a link to, in this case, the
>> index page for the "WaveCGH" package.
>>
>>     Hope this helps.     Spencer Graves
>> stvienna wiener wrote:
>>     
>>> Greetings to all!
>>>
>>>
>>> # Short-Version
>>> I am looking for advanced R packages similar to "waveslim",
>>> "brainwaver", "wavethresh", "fractal", etc.
>>> in order to analyze financial times series (e.g. stock prices).
>>>
>>>
>>> Currently I am writing code to show/demonstrate the use of wavelets
>>> and fractal dimension
>>> to analyze financial time series (its a school project for my master
>>> degree in CS).
>>>
>>> The purpose is, for example, to find a correlation between IBM stock
>>> prices and the dow jones index. Or to find a changepoint in
>>> stock prices, correlating to unusual events e.g Yahoo stock prices in 2008
>>> while
>>> there was an acquisition attempt.
>>>
>>> I have been using the "brainwaver" package to calculate correlations
>>> of us stock prices to the dow jones.
>>> It seems to work, but I am not 100% sure. (could provide so code but
>>> its just fragments at the moment)
>>>
>>> So my questions at the moment would be:
>>> 1)  Is there a specific R package that would be interesting and
>>> helpful that I missed?
>>> 2)  Is there a package to find "changepoints" in time series with
>>> wavelets or fractal-approach?
>>> I know there is a function in "waveslim" to find a changepoint in the
>>> wavelet-variance,
>>> but I could not yet get it working.
>>> If not is there a way by other methods e.g. bayesian interference?
>>>
>>>
>>> As references I was looking at the task views of finance, econometrics
>>> and time series.
>>>
>>> As well as the following to very helpful books (aside of the standard
>>> wavelet literature):
>>>
>>> (2001) An Introduction to Wavelets and Other Filtering Methods in
>>> Finance and Economics.
>>> Wavelet Methods in Statistics with R [ would be looking for a newer
>>> reference ... .. ]
>>> (2008) Wavelet Methods in Statistics with R
>>>
>>>
>>> THANK you very much for any help or pointers!!
>>>
>>>
>>> With the best regards to all,
>>> Steve
>>>
>>> _______________________________________________
>>> R-SIG-Finance at stat.math.ethz.ch mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> -- Subscriber-posting only.
>>> -- If you want to post, subscribe first.
>>>
>>>
>>>       
>>     
>
>