fitted.statfacmodBurSt: Variance Matrix From Statistical Factor Model

In wangzhishi/test: Burns Statistics Financial

Description

Takes a statistical factor model object and produces the variance matrix that it represents.

Usage

## S3 method for class 'statfacmodBurSt'
fitted(object, output = "full", ...)

Arguments

object	an object of class statfacmodBurSt.
output	a character string that must partially match one of: "full", "systematic", "specific".
...	not used, but allows methods for inheriting objects to have additional arguments.

Value

a numeric matrix of the variance represented by the factor model, or the systematic or specific variance portion of the model.

This has two additional attributes:

number.of.factors	the number of factors used in the model.
timestamp	the date and time at which the model was originally created.

Revision

This help was last revised 2012 February 12.

Author(s)

Burns Statistics

See Also

factor.model.stat.

Examples

## Not run: 
varfac <- factor.model.stat(retmat, zero=TRUE, output="factor")
# perhaps modify loadings and uniquenesses for missing values
varian2 <- fitted(varfac) # get variance matrix from factor model

specif <- fitted(varfac, output="specific") # diagonal matrix

## End(Not run)

wangzhishi/test documentation built on Oct. 29, 2020, 2:45 a.m.