A package full of toys for me to use in my other programs.
Author tbeason
2 Stars
Updated Last
2 Years Ago
Started In
July 2020


Lifecycle Build Status


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

  • Static rolling functions applyrolling and makekernel using StaticKernels.jl. For small window sizes, this is probably the fastest existing way to do rolling means, sums, etc.
  • Variance ratios varianceratio
  • SIMD skew and kurt functions that are faster and more forgiving than StatsBase.skewness and StatsBase.kurtosis
  • Autocorrelation function 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-correlations
  • nantomissing! for DataFrames
  • Conditional correlations conditionalcor(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 horizons
  • simiterator and perioditerator for labelling observations in simulations.
  • yrqtrfun and monthtoquarter Date-like helper functions

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