extractRegressionStats: extractRegressionStats

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

extractRegressionStats

Description

function to compute or Extract objects to be returned

Usage

extractRegressionStats(specObj, fitResults, full.resid.cov = FALSE)

Arguments

specObj	fitFM object that has been already fit
fitResults	output from fitFfmDT
full.resid.cov	an option to calculate the full residual covariance or not

Details

this function operates on the specObje data and the output of fitFfm to get information on the fundamental factor.

Value

a structure of class ffm holding all the information

See Also

specFfm and fitFfmDT for information on the definition of the specFfm object and the usage of fitFfmDT.

braverock/factorAnalytics documentation built on March 2, 2024, 11:17 p.m.