Description Usage Arguments Author(s) Examples
factor_std
1 2 3 | factor_std(TSF, method = c("none", "scale", "robustScale", "reg"),
log = FALSE, sectorAttr = defaultSectorAttr(), regLists = NULL,
regWgt = NULL)
|
method |
Currently supporting four types : none, scale, robustScale, reg. |
log |
Logical value. Default FALSE. |
sectorAttr |
could be a sectorAttr list or NULL. |
regLists |
factorLists. This argument will used when method is reg. The factorscore will be orthogonized by the factors in regLists. |
regWgt |
NULL,"existing","sector","cap" |
Han.Qian
1 2 3 4 5 | RebDates <- getRebDates(as.Date('2011-03-17'),as.Date('2012-04-17'),'month')
TS <- getTS(RebDates,'EI000300')
TSF <- gf.NP_YOY(TS)
regLists <- buildFactorLists(buildFactorList(factorFun = 'gf.PE_ttm',factorDir = -1,factorRefine=refinePar_default("scale")))
TSF <- factor_std(TSF, method = "reg", log = FALSE, regLists = regLists)
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