sandbox/Shubhankit/noniid.sm/R/table.ComparitiveReturn.GLM.R

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

#' @title Compenent Decomposition of Table of Unsmooth Returns for GLM Model
#' 
#' @description Creates a table of comparitive changes in Normality Properties for Third
#' and Fourth Moment Vectors i.e. Skewness and Kurtosis for Orignal and Unsmooth 
#' Returns Respectively
#' 
#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
#' asset returns
#' @param n number of series lags
#' @param digits number of digits to round results to
#' @author Peter Carl, Brian Peterson, Shubhankit Mohan
#' @keywords ts unsmooth GLM return models
#' @references Okunev, John and White, Derek R., \emph{ Hedge Fund Risk Factors and Value at Risk of Credit Trading Strategies} (October 2003). 
#' Available at SSRN: \url{http://ssrn.com/abstract=460641} 
#' @rdname table.ComparitiveReturn.GLM
#' @examples
#' library(PerformanceAnalytics)
#' library(tseries)
#' data(managers)
#' table.ComparitiveReturn.GLM(managers,3)
#' @export 
table.ComparitiveReturn.GLM <-
  function (R, n = 3, digits = 4)
  {# @author 
    
    # DESCRIPTION:
    # Downside Risk Summary: Statistics and Stylized Facts
    
    # Inputs:
    # R: a regular timeseries of returns (rather than prices)
    # n : Number of lags
    # p = Confifence Level
    # Output:
    # A table of estimates of Moving Average
    require("tseries")
    y = checkData(R, method = "xts")
    columns = ncol(y)
    rows = nrow(y)
    columnnames = colnames(y)
    rownames = rownames(y)
    
    # for each column, do the following:
    for(column in 1:columns) {
      x = y[,column]
      x=na.omit(x)
      skew = skewness(x)
    #  arma.coeff= arma(x,order=c(0,n))
      kurt= kurtosis(x)
     # z = c(skew,
      #      ((sum(as.numeric(arma.coeff$coef[1:n])^2)^1.5)*(skew/(sum(as.numeric(arma.coeff$coef[1:n])^3)))),
       #     kurt,
        #     (abs(kurt*(sum(as.numeric(arma.coeff$coef[1:n])^2)^2/6-(sum(as.numeric(arma.coeff$coef[1:n])^2)*sum(as.numeric(arma.coeff$coef[1:n])^2)))/(sum(as.numeric(arma.coeff$coef[1:n])^4)))))
      aa=Return.GLM(x)
      skew1=skewness(aa)
      kurt1=kurtosis(aa)
      z=c(skew,skew1,kurt,kurt1)
      znames = c(
        "Skewness ( Orignal) ",
        "Skewness (Unsmooth)",
        "Kurtosis (Orignal)",
        "Kurtosis (Unsmooth)")
      if(column == 1) {
        resultingtable = data.frame(Value = z, row.names = znames)
      }
      else {
        nextcolumn = data.frame(Value = z, row.names = znames)
        resultingtable = cbind(resultingtable, nextcolumn)
      }
    }
    colnames(resultingtable) = columnnames
    ans = base::round(resultingtable, digits)
    ans
    # arma.coeff$theta
    # as.numeric(arma.coeff$coef[1:n])
  }

###############################################################################
# R (http://r-project.org/) 
#
# Copyright (c) 2004-2013 
#
# This R package is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
#
# $Id: table.ComparitiveReturn.GLM
#
###############################################################################