linModWrapper: Estimation of constrained linear model, prediction.

In piotrek-orlowski/impliedCF: Implied Characteristic Functions: power-divergence option portfolios. Magic.

Description

This function takes a formula, a vector of term formulae and estimates a constrained linear model, giving it class impliedCF.lm so that the predict routine can be used as well.

Usage

constr.lm.estim(terms, data, R, r, weights = rep(1, nrow(data)), meq = 0)

## S3 method for class 'impliedCF.lm'
predict(model, newdata)

Arguments

terms	Formulae for left and right hand side terms (individual components of formula). The explained variables is assumed to be in terms[1]
data	Data frame with right hand side variables
R	Matrix of linear restrictions of the form Rb >= r
r	Right hand side of linear restriction Rb >= r
weights	For some weighted least squares
meq	check quadprog::solve.QP
model	model of class impliedCF.lm
newdata	conforming data frame

Details

Wrapper to solve.QP for estimating constrained linear models.

piotrek-orlowski/impliedCF documentation built on May 7, 2019, 8:18 a.m.