SantasLittleHelpers.jl

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