standardizeExposures: standardizeExposures

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

standardizeExposures

Description

function to calculate z-scores for numeric exposure using weights weight.var

Usage

standardizeExposures(
  specObj,
  Std.Type = c("None", "CrossSection", "TimeSeries"),
  lambda = 0.9
)

Arguments

specObj	is a ffmSpec object,
Std.Type	method for exposure standardization; one of "none", "CrossSection", or "TimeSeries". Default is "none".
lambda	lambda value to be used for the EWMA estimation of residual variances. Default is 0.9

Details

this function operates on the data inside the specObj and applies a standardization to it. The user can choose CrossSectional or timeSeries standardization

Value

the ffM spec object with exposures z-scored

See Also

specFfm for information on the definition of the specFfm object.

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