[Returnanalytics-commits] r2698 - in pkg/FactorAnalytics: . R

[noreply at r-forge.r-project.org]

Author: chenyian
Date: 2013-08-02 02:57:09 +0200 (Fri, 02 Aug 2013)
New Revision: 2698

Modified:
   pkg/FactorAnalytics/DESCRIPTION
   pkg/FactorAnalytics/R/fitStatisticalFactorModel.R
   pkg/FactorAnalytics/R/fitTimeSeriesFactorModel.R
   pkg/FactorAnalytics/R/plot.TimeSeriesFactorModel.r
Log:
debug 

Modified: pkg/FactorAnalytics/DESCRIPTION
===================================================================
--- pkg/FactorAnalytics/DESCRIPTION	2013-08-02 00:13:20 UTC (rev 2697)
+++ pkg/FactorAnalytics/DESCRIPTION	2013-08-02 00:57:09 UTC (rev 2698)
@@ -7,5 +7,5 @@
 Maintainer: Yi-An Chen <chenyian at uw.edu>
 Description: An R package for estimation and risk analysis of linear factor models for asset returns and portfolios. It contains three major fitting method for the factor models: fitting macroeconomic factor model, fitting fundamental factor model and fitting statistical factor model and some risk analysis tools like VaR, ES to use the result of the fitting method. It also provides the different type of distribution to fit the fat-tail behavior of the financial returns, including edgeworth expansion type distribution.  
 License: GPL-2
-Depends: robust, robustbase, leaps, lars, zoo, MASS, PerformanceAnalytics, ff, sn, tseries, strucchange 
+Depends: robust, robustbase, leaps, lars, zoo, MASS, PerformanceAnalytics, ff, sn, tseries, strucchange,xts,ellipse 
 LazyLoad: yes
\ No newline at end of file

Modified: pkg/FactorAnalytics/R/fitStatisticalFactorModel.R
===================================================================
--- pkg/FactorAnalytics/R/fitStatisticalFactorModel.R	2013-08-02 00:13:20 UTC (rev 2697)
+++ pkg/FactorAnalytics/R/fitStatisticalFactorModel.R	2013-08-02 00:57:09 UTC (rev 2698)
@@ -209,7 +209,7 @@
 	if(is.null(ret.cov)) {
 		ret.cov <- crossprod(xc)/m
 	}
-	eigen.tmp <- eigen(ret.cov, symm = TRUE)
+	eigen.tmp <- eigen(ret.cov, symmetric = TRUE)
   # compute loadings beta
 	B <- t(eigen.tmp$vectors[, 1:k, drop = FALSE])
   # compute estimated factors
@@ -288,7 +288,7 @@
 	if(refine) {
 		xs <- t(xc)/sqrt(sigma)
 		ret.cov <- crossprod(xs)/n
-		eig.tmp <- eigen(ret.cov, symm = TRUE)
+		eig.tmp <- eigen(ret.cov, symmetric = TRUE)
 		f <- eig.tmp$vectors[, 1:k, drop = FALSE]
 		f1 <- cbind(1, f)
 		B <- backsolve(chol(crossprod(f1)), diag(k + 1))

Modified: pkg/FactorAnalytics/R/fitTimeSeriesFactorModel.R
===================================================================
--- pkg/FactorAnalytics/R/fitTimeSeriesFactorModel.R	2013-08-02 00:13:20 UTC (rev 2697)
+++ pkg/FactorAnalytics/R/fitTimeSeriesFactorModel.R	2013-08-02 00:57:09 UTC (rev 2698)
@@ -176,7 +176,7 @@
       # sum weigth to unitary  
       w <- w/sum(w) 
       fm.formula = as.formula(paste(i,"~", ".", sep=""))                              
-      fm.fit = lm(fm.formula, data=reg.df,weight=w)
+      fm.fit = lm(fm.formula, data=reg.df,weights=w)
       fm.summary = summary(fm.fit)
       reg.list[[i]] = fm.fit
       Alphas[i] = coef(fm.fit)[1]
@@ -301,7 +301,7 @@
 # sum weigth to unitary  
  w <- w/sum(w) 
  fm.formula = as.formula(paste(i,"~", ".", sep=""))                              
- fm.fit = lm(fm.formula, data=reg.df,weight=w)
+ fm.fit = lm(fm.formula, data=reg.df,weights=w)
  fm.summary = summary(fm.fit)
  reg.list[[i]] = fm.fit
  Alphas[i] = coef(fm.fit)[1]
@@ -333,7 +333,7 @@
     reg.df = merge(reg.df,quadratic.term)
     colnames(reg.df)[dim(reg.df)[2]] <- "quadratic.term"
   }
- fm.fit = lm(fm.formula, data=reg.df,weight=w)
+ fm.fit = lm(fm.formula, data=reg.df,weights=w)
  fm.summary = summary(fm.fit)
  reg.list[[i]] = fm.fit
  Alphas[i] = coef(fm.fit)[1]
@@ -425,7 +425,7 @@
 # sum weigth to unitary  
  w <- w/sum(w) 
  fm.formula = as.formula(paste(i,"~", ".", sep=""))                              
- fm.fit = step(lm(fm.formula, data=reg.df,weight=w),trace=0)
+ fm.fit = step(lm(fm.formula, data=reg.df,weights=w),trace=0)
  fm.summary = summary(fm.fit)
  reg.list[[i]] = fm.fit
  Alphas[i] = coef(fm.fit)[1]

Modified: pkg/FactorAnalytics/R/plot.TimeSeriesFactorModel.r
===================================================================
--- pkg/FactorAnalytics/R/plot.TimeSeriesFactorModel.r	2013-08-02 00:13:20 UTC (rev 2697)
+++ pkg/FactorAnalytics/R/plot.TimeSeriesFactorModel.r	2013-08-02 00:57:09 UTC (rev 2698)
@@ -197,7 +197,7 @@
       }   
       w <- w/sum(w)
       rollReg <- function(data.z, formula,w) {
-        coef(lm(formula,weight=w, data = as.data.frame(data.z)))  
+        coef(lm(formula,weights=w, data = as.data.frame(data.z)))  
       }
       reg.z = zoo(fit.lm$model[-length(fit.lm$model)], as.Date(rownames(fit.lm$model)))
       factorNames = colnames(fit.lm$model)[c(-1,-length(fit.lm$model))]