A package full of toys for me to use in my other programs.
OTHER License
I factored out pieces of code that I always found myself using so that it would all live in one spot (here).
This package has
applyrolling
and makekernel
using StaticKernels.jl. For small window sizes, this is probably the fastest existing way to do rolling means, sums, etc.varianceratio
skew
and kurt
functions that are faster and more forgiving than StatsBase.skewness
and StatsBase.kurtosis
autocorrelate
because StatsBase.autocor
was too annoying when you only want the first one, and this is faster. Plus I allow for transformations like autocorrelate(abs,x)
if you want the autocorrelation of absolute x
. you can replicate StatsBase.autocor
via autocorrelate.(Ref(x),0:L)
where L
are your desired lags.correlogram(x,y;leadlags::Int=10)
for cross-correlationsnantomissing!
for DataFramesconditionalcor(f,x,y)
spawning downsidecor
and upsidecor
(eventually will live in AsymmetricRisk.jl when I give it more love)loggrowth(x,n)
for computing log growth rates over different horizonssimiterator
and perioditerator
for labelling observations in simulations.yrqtrfun
and monthtoquarter
Date-like helper functions