factorforest: <factorforest>
In rickycant90/BMLgarch: Econometric and Mathematic tools for market analysis and portfolio optimization.
Description
<Performing and cross-validating random forest models on each asset included in a data.frame object, given a matrix of risk factors obtained with PCA>
Usage
1
factorforest(factors, data, ntr = 800, window = 100)
Arguments
factors
Data.frame object containing time series of the estimated factors.
data
Data.frame object containing prices time series of each asset in the market.
ntr
Integer, number of observations of the training dataset.
window
Integer, number of observations to see in the diagnostic plots.
rickycant90/BMLgarch documentation built on May 23, 2019, 10:36 p.m.
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Description
<Performing and cross-validating random forest models on each asset included in a data.frame object, given a matrix of risk factors obtained with PCA>
Usage
1 | factorforest(factors, data, ntr = 800, window = 100)
|
Arguments
factors |
Data.frame object containing time series of the estimated factors. |
data |
Data.frame object containing prices time series of each asset in the market. |
ntr |
Integer, number of observations of the training dataset. |
window |
Integer, number of observations to see in the diagnostic plots. |
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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