z6: Z6
In bredamatt/Z-measures: Z-score measures from EJOR.
Description
This function allows you to specify the window length k when estimating the Z-score. It is similar to Z2 in the sense that CAR is left observable per time t, but ROA sigma and mean are estimated on a rolling basis, where k is the window length specified for computing the rolling estimates.
Usage
1
Arguments
data
The dataset of interest. Note that ROA should be in column number 3 and CAR in column number 4.
k
The window length k for calculating the rolling mean and sigma with rollapply.
bredamatt/Z-measures documentation built on May 29, 2019, 12:36 p.m.
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Description
This function allows you to specify the window length k when estimating the Z-score. It is similar to Z2 in the sense that CAR is left observable per time t, but ROA sigma and mean are estimated on a rolling basis, where k is the window length specified for computing the rolling estimates.
Usage
1 |
Arguments
data |
The dataset of interest. Note that ROA should be in column number 3 and CAR in column number 4. |
k |
The window length k for calculating the rolling mean and sigma with rollapply. |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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