z6_2: Z6_2

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. The difference between Z6 and Z6_2 is that Z6_2 corrects for the unbiasedness of the sample standard deviation by using a simple approximation of Cochran's theorem thorugh exploiting the correction factor for the estimator of the coefficient of variation according to Salkind(2010).

Usage

z6_2(data, k)

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.