financial series: waveslim, brainwaver, wavetresh and fractal

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