.coefficients {PerformanceAnalytics} | R Documentation |
Wrapper for SFM's regression models.
Description
This is intended to be called using SFM.coefficients function, and not directly.
Usage
.coefficients(xRa, xRb, subset, ..., method = "LS", family = "mopt")
Arguments
xRa |
an xts, vector, matrix, data frame, timeSeries or zoo object of excess asset returns |
xRb |
excess return vector of the benchmark asset |
subset |
a logical vector |
... |
arguments passed to other methods |
method |
Which linear model to use for SFM regression |
family |
If method is "Rob", then this is a string specifying the name of the family of loss function to be used (current valid options are "bisquare", "opt" and "mopt"). Incomplete entries will be matched to the current valid options. Defaults to "mopt". |
Author(s)
Dhairya Jain
[Package PerformanceAnalytics version 2.0.8 Index]