dot-coefficients: Wrapper for SFM's regression models.

In braverock/PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Wrapper for SFM's regression models.

Description

This is intended to be called using SFM.coefficients function, and not directly.

Usage

.coefficients(xRa, xRb, subset, ..., method = "LS", family = "mopt")

Arguments

xRa	an xts, vector, matrix, data frame, timeSeries or zoo object of excess asset returns
xRb	excess return vector of the benchmark asset
subset	a logical vector
...	arguments passed to other methods
method	Which linear model to use for SFM regression
family	If method is "Rob", then this is a string specifying the name of the family of loss function to be used (current valid options are "bisquare", "opt" and "mopt"). Incomplete entries will be matched to the current valid options. Defaults to "mopt".

Author(s)

Dhairya Jain

braverock/PerformanceAnalytics documentation built on Feb. 16, 2024, 5:37 a.m.