Rcpp bindings for UTS (Unevenly Spaced Time Series)
UTS is a library by Andreas Eckner described and made available via his research page which also contains a zip archive.
This package wraps (the older library version of) UTS for use by R via Rcpp.
Some examples are included, based on the example in the UTS library. Below we show the
exponential-moving average operator, available condition on the last, next (ie
current) observation, or a linear interpolation.
Also available is a standard moving average with a fixed 'before' and 'after' window length.
Both figures are also produced by the respective example() commands associate with
the corresponding help files.
Well once I told Andreas I was putting together a quick package, he got motivated too and released an updated GitHUb repo for uts as well one for utsOperators. You probably want to watch those spaces. His utsOperators is closer to what we do here with a focus on SMA, EMA and rolling operators.
The package builds and checks cleanly.
More functionality could be added, of course. Contributions are welcome.
Dirk Eddelbuettel for the package and interface, Andreas Eckner for UTS.
GPL (>= 2)