Description Usage Arguments Value Author(s) See Also Examples
Convert a fit of the PAR model to a single row data.frame
1 2 | ## S3 method for class 'par.fit'
as.data.frame(x, row.names, optional, ...)
|
x |
An object of class |
row.names |
Not used |
optional |
Not used |
... |
Not used |
Returns a single row data.frame, with the following columns:
robust |
|
nu |
If |
opt_method |
The optimization method that was used for finding these parameters. |
n |
Length of the vector that was fit to the PAR model |
rho |
Estimate of the coefficient of mean reversion |
sigma_M |
Estimate of the standard deviation of the innovations of the transient (mean-reverting) component. |
sigma_R |
Estimate of the standard deviation of the innovations of the permanent (random walk) component. |
M0 |
Estimate of the initial value of the transient component. |
R0 |
Estimate of the initial value of the permanent component. |
rho.se |
Standard error of the estimate of |
sigma_M.se |
Standard error of the estimate of |
sigma_R.se |
Standard error of the estimate of |
M0.se |
Standard error of the estimate of |
R0.se |
Standard error of the estimate of |
lambda |
Value of the penalty factor lambda that was used in computing the estimates. |
pvmr |
Proportion of variance attributable to mean reversion. |
negloglik |
Negative log-likelihood of the model given these parameters. |
Matthew Clegg matthewcleggphd@gmail.com
1 2 3 4 | require(TTR)
L <- getYahooData("L", 20120101, 20131231)$Close
fit.par(L)
as.data.frame(fit.par(L))
|
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