dot-fmmc.boot: #' @title Statistic function for the boot call.

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

#' @title Statistic function for the boot call.

Description

Calculates the risk or performance measure by using the estimation function in its argument list.

Usage

.fmmc.boot(data, indices, args)

Arguments

data	matrix of (all factors + returns of just 1 asset)
indices	row numbers generated by boot
args	additinal paramters needed for subsetting the data and calulating the perfomance/risk measure.

Details

This method works as follows. 1. Get data with factors and returns. 2. Subset T rows from the data. 3. Discard first TR-TR1 of the asset returns by setting them to NA 4. calls .fmmc.proc method over the new data set to get a new joint empirical distribution of returns and factors 5. We use the new returns with the estimation function to calculate the risk or performance measure.

Author(s)

Rohit Arora

braverock/factorAnalytics documentation built on Dec. 16, 2024, 1:05 p.m.