fit.zscore: fit.zscore

In rogerjbos/fit.factor.models: Factor models for attribution and risk

Description

Function to perform cross-sectional standardization of raw data (vectorized)

Usage

fit.zscore(x, dte, w = 1, grp = 1, rob.stats = FALSE)

Arguments

x	vector of data to be standardized
dte	vector of dates (or anything else) used to partition the data
w	optional vector of weights used to calculate weighted mean, defaults to equal weighted
grp	optional vector of group designations used to standardize within groups, defaults to a signle group
rob.stats	logical parameter to subtract the the median rather than the mean, defaults to FALSE

Value

vector of standardized data with a mean near zero and a standard deviation near one

Author(s)

Roger J. Bos, [e-mail]

Examples

fit.zscore(x = data[['mcap']), dte = data[[date]]), w = data[['weight']]), rob.stats = TRUE)

rogerjbos/fit.factor.models documentation built on July 23, 2020, 3:44 p.m.