Description Usage Arguments Value
penfmb
1 | penfmb(factors, returns, alpha = 4, nboot = 100, nblocks = 5)
|
factors |
The factors |
returns |
The returns |
alpha |
The penalty parameter, default 4 |
nboot |
Number of bootstrap replications for the shrinkage rate, default 100 |
nblocks |
Number of blocks in the stationary bootstrap, default 5 |
A 'penfmb' instance
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