fmmc.estimate.se: Main function to calculate the standard errror of the...

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

Main function to calculate the standard errror of the estimate

Description

Main function to calculate the standard errror of the estimate

Usage

fmmc.estimate.se(
  fmmcObjs,
  fun = NULL,
  se = FALSE,
  nboot = 100,
  parallel = FALSE
)

Arguments

fmmcObjs	A list of fmmc objects computed using .fmmc.proc and containing bootstrapped returns
fun	A callback function where the first argument is returns and all the other arguments are bounded to values
se	A flag to indicate if standard error for the estimate must be calculated
nboot	Number of bootstrap samples
parallel	A flag to indicate if multiple cpu cores must be used

Details

This method takes in a list of fmmc objects and a callback function to compute an estimate. The first argument of the callback function must be the data bootstrapped using fmmc procedure. The remaining arguments can be suitably bound to the parameters as needed. This function can also be used to calculate the standard error using the se flag.

Value

returns the estimates and thier standard errors given fmmc objects

Author(s)

Rohit Arora

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