as.data.frame.par.fit: Convert a fit of the PAR model to a single row data.frame

Description Usage Arguments Value Author(s) See Also Examples

Description

Convert a fit of the PAR model to a single row data.frame

Usage

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## S3 method for class 'par.fit'
 as.data.frame(x, row.names, optional, ...)

Arguments

x

An object of class par.fit. See fit.par

row.names

Not used

optional

Not used

...

Not used

Value

Returns a single row data.frame, with the following columns:

robust

TRUE if robust estimation was used.

nu

If robust is TRUE, then this is the degrees-of-freedom parameter used in the t-distribution for the robust estimation.

opt_method

The optimization method that was used for finding these parameters.

n

Length of the vector that was fit to the PAR model

rho

Estimate of the coefficient of mean reversion

sigma_M

Estimate of the standard deviation of the innovations of the transient (mean-reverting) component.

sigma_R

Estimate of the standard deviation of the innovations of the permanent (random walk) component.

M0

Estimate of the initial value of the transient component.

R0

Estimate of the initial value of the permanent component.

rho.se

Standard error of the estimate of rho.

sigma_M.se

Standard error of the estimate of sigma_M.

sigma_R.se

Standard error of the estimate of sigma_R.

M0.se

Standard error of the estimate of M0.

R0.se

Standard error of the estimate of R0.

lambda

Value of the penalty factor lambda that was used in computing the estimates.

pvmr

Proportion of variance attributable to mean reversion.

negloglik

Negative log-likelihood of the model given these parameters.

Author(s)

Matthew Clegg [email protected]

See Also

fit.par

Examples

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    require(TTR)
    L <- getYahooData("L", 20120101, 20131231)$Close
    fit.par(L)
    as.data.frame(fit.par(L))

matthewclegg/partialAR documentation built on May 21, 2019, 1 p.m.