normalize_factors: Normalize the factors dataset

In chriszheng2016/zstmodelr: Stock Factor Models for China Stock Market Investment

Description

Normalize factors dataset by cleaning extremes and standardization.

Usage

normalize_factors(
  ds_factors,
  factors_list = NULL,
  group_by = NULL,
  clean_extremes_method = c("sigma", "mad"),
  standard_method = c("normal", "rank"),
  ...
)

Arguments

ds_factors	A factors dataset.
factors_list	A character vector of factors.
group_by	A character vector of fields as group data for scaling, NULL is default value which means no group setting.
clean_extremes_method	Method of cleaning extremes before standardization , i.e. "sigma","mad", by default "sigma". see details: clean_extremes_sigma, clean_extremes_mad
standard_method	method of standardizing data, i.e. "normal","rank", by default "normal". see details: standardize_normal_scale, standardize_rank_scale
...	additional arguments to clean_extremes_method and standard_method.

Value

       a dataset of normalized factors

chriszheng2016/zstmodelr documentation built on June 13, 2021, 8:59 p.m.