plotLSandRobustSFM: Robust and Least Square Single Factor Model (SFM) Fits

In PCRA: Companion to Portfolio Construction and Risk Analysis

Robust and Least Square Single Factor Model (SFM) Fits

Description

Plot of Least squares and robust single factor model (SFM) fits, with outliers identified, and legend containing slope and intercept coefficient estimates with standard errors in parentheses.

Usage

plotLSandRobustSFM(
  x,
  family = "mopt",
  efficiency = 0.95,
  mainText = NULL,
  ylimits = NULL,
  legendPos = "topleft",
  makePct = FALSE
)

Arguments

x	A univariate xts object.
family	Robust loss function choice with default mopt
efficiency	Estimator Normal distribution efficiency, default 0.95
mainText	Main title, if any.
ylimits	Vertical axis limits.
legendPos	Legend position.
makePct	Logical variable with default FALSE

Details

The robust fit is computed using the lmrobdetMM() function in the R package RobStatTM. For other choices of efficiency and family see the RobStatTM package help(lmrobdetMM)

Value

No value returned, instead plot with straight line fits and legend is displayed

Examples

args(plotLSandRobustSFM)

PCRA documentation built on Aug. 30, 2023, 9:09 a.m.