Burns Statistics Financial

A suite of functions for finance, including the estimation of variance matrices via a statistical factor model or Ledoit-Wolf shrinkage.


News

Changes in version 1.02 (2014-03-09)

NEW FEATURES

o The 'slideWeight' function is added.  This creates a vector 
  suitable to use as time weights -- for example, the 'weights'
  argument to 'var.shrink.eqcor' or 'factor.model.stat'.

NON-BACKWARD COMPATIBLE

o if in 'factor.model.stat' the 'constant.returns.okay' 
  argument is 'TRUE', then any columns with constant values
  now get a variance of zero rather than the default variance 
  for an all missing column.  The previous behavior could 
  arguably be considered a bug.

CHANGES

o the default value of 'tol' in 'var.shrink.eqcor' is now
  1e-4 instead of 1e-3.  This is still a guess, but it seems 
  to be a better guess.

o equal time weights can be specified with 'weight=NULL'
  in 'factor.model.stat' and 'var.shrink.eqcor'.

o 'cumulative.variance.fraction' is a new component of the result of
  'factor.model.stat' when its output is the factor model.

o 'constant.names' is a new component of the result of
  'factor.model.stat' when its output is the factor model.

BUG FIXES

o The 'x' in 'factor.model.stat' is immediately coerced with
  'as.matrix' to avoid subsetting problems with some data types,
  'timeSeries' for instance.

o A second attempt is made with 'svd' inside 'factor.model.stat'
  if the first attempt fails to converge. 
  It also does a sanity check on the result of 'svd'.

Changes in version 1.01 (2012-02-12):

NEW FEATURES

o The 'threeDarr' function is added.  This creates three-dimensional
  arrays out of matrices.

CHANGES

o 'var.shrink.eqcor' and 'factor.model.stat' have a new argument
  'verbose' that controls whether some warnings are given.  Both
  functions can warn if there are no negative values in the input
  'x' -- an indication in finance that prices rather than returns
  are given.  Warnings in 'factor.model.stat' about constant
  columns in 'x' and negative specific variances are also controlled.

o 'var.add.benchmark' has a new argument 'sum.to.one' that allows
  a "benchmark" to have weights that sum to something other than
  one.  An example is to give portfolio weights minus benchmark
  weights.

BUG FIXES

o (none)

Reference manual

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install.packages("BurStFin")

1.02 by Pat Burns, 5 years ago


http://www.burns-stat.com/


Browse source code at https://github.com/cran/BurStFin


Authors: Burns Statistics


Documentation:   PDF Manual  


Task views: Empirical Finance


Unlimited license


Depends on stats


Imported by JFE.


See at CRAN