GenRelScore: Generate dynamic relative scores for input matrix

In hughshuwang/isocyanate: isocyanate (R-N=C=O)

Description

Generate dynamic relative scores for input matrix

Usage

GenRelScore(data, data.period, rolling.period, burn.in.period = NULL,
  scoring.method, transfer.method = NULL, output.period = "monthly")

Arguments

data	xts object vectorized named rolling (vcov) dataframe
data.period	string 'monthly' or 'daily', should match the data
rolling.period	numeric number of data.period should be included in each calculation in the rolling window
burn.in.period	numeric number of period (specified in data.period) that's used to generate the first realized value, can be included in the rolling period.
scoring.method	function getting df and returning a vec
transfer.method	function used to transfer daily result to monthly when output.period != data.period, from a vec to a value
output.period	string 'monthly' or 'daily', frequency of return xts object, default: 'monthly'

Value

xts object with monthly

hughshuwang/isocyanate documentation built on May 30, 2019, 7:17 a.m.