coint_measure: Get the cointegration measure for a rolling windows of...
In hafen/nxcore: Utilities for working with NxCore data
View source: R/cointegration.r
Description
Get the cointegration measure for a rolling windows of stocks.
Usage
1
2
coint_measure(x, interval = minutes(5), dr = c("none", "svd", "nmf"),
dr_rank)
Arguments
x
an xts object of stock prices.
interval
the width of the cointegration window.
dr
the dimension reduction technique: "none", "svd", "nmf"
dr_rank
if dr is "svd" or "nmf" then this specifies the rank of the subspace
to project onto.
hafen/nxcore documentation built on May 17, 2019, 2:03 p.m.
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View source: R/cointegration.r
Description
Get the cointegration measure for a rolling windows of stocks.
Usage
1 2 | coint_measure(x, interval = minutes(5), dr = c("none", "svd", "nmf"),
dr_rank)
|
Arguments
x |
an xts object of stock prices. |
interval |
the width of the cointegration window. |
dr |
the dimension reduction technique: "none", "svd", "nmf" |
dr_rank |
if dr is "svd" or "nmf" then this specifies the rank of the subspace to project onto. |
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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