[Returnanalytics-commits] r2805 - in pkg/PerformanceAnalytics/sandbox/Shubhankit: R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sat Aug 17 16:34:11 CEST 2013
Author: shubhanm
Date: 2013-08-17 16:34:10 +0200 (Sat, 17 Aug 2013)
New Revision: 2805
Modified:
pkg/PerformanceAnalytics/sandbox/Shubhankit/R/ACStdDev.annualized.R
pkg/PerformanceAnalytics/sandbox/Shubhankit/R/EmaxDDGBM.R
pkg/PerformanceAnalytics/sandbox/Shubhankit/R/chart.Autocorrelation.R
pkg/PerformanceAnalytics/sandbox/Shubhankit/man/ACStdDev.annualized.Rd
pkg/PerformanceAnalytics/sandbox/Shubhankit/man/Return.GLM.Rd
pkg/PerformanceAnalytics/sandbox/Shubhankit/man/chart.Autocorrelation.Rd
Log:
/.Rd Documentation
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/R/ACStdDev.annualized.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/R/ACStdDev.annualized.R 2013-08-17 11:39:33 UTC (rev 2804)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/R/ACStdDev.annualized.R 2013-08-17 14:34:10 UTC (rev 2805)
@@ -1,4 +1,4 @@
-#' calculate a multiperiod or annualized Autocorrleation adjusted Standard Deviation
+#' @title Autocorrleation adjusted Standard Deviation
#'
#' @aliases sd.multiperiod sd.annualized StdDev.annualized
#' @param x an xts, vector, matrix, data frame, timeSeries or zoo object of
@@ -7,18 +7,17 @@
#' @param scale number of periods in a year (daily scale = 252, monthly scale =
#' 12, quarterly scale = 4)
#' @param \dots any other passthru parameters
-#' @author R
+#' @author Peter Carl,Brian Peterson, Shubhankit Mohan
#' @seealso \code{\link[stats]{sd}} \cr
#' \url{http://wikipedia.org/wiki/inverse-square_law}
#' @references Burghardt, G., and L. Liu, \emph{ It's the Autocorrelation, Stupid (November 2012) Newedge
-#' working paper.http://www.amfmblog.com/assets/Newedge-Autocorrelation.pdf \cr
+#' working paper.}
+#' \code{\link[stats]{}} \cr
+#' \url{http://www.amfmblog.com/assets/Newedge-Autocorrelation.pdf}
#' @keywords ts multivariate distribution models
-#' @examples
+#' @usage ACsd.annualized(edhec,3)
+#'
#'
-#' data(edhec)
-#' ACsd.annualized(edhec,3)
-
-#'
#' @export
#' @rdname ACStdDev.annualized
ACStdDev.annualized <- ACsd.annualized <- ACsd.multiperiod <-
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/R/EmaxDDGBM.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/R/EmaxDDGBM.R 2013-08-17 11:39:33 UTC (rev 2804)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/R/EmaxDDGBM.R 2013-08-17 14:34:10 UTC (rev 2805)
@@ -1,13 +1,9 @@
-#' Expected Drawdown using Brownian Motion Assumptions
+#' @title Expected Drawdown using Brownian Motion Assumptions
#'
-#' Works on the model specified by Maddon-Ismail
-#'
-#'
-#'
-#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
-#' asset returns
-
-#' @author R
+#' @description Works on the model specified by Maddon-Ismail which investigates the behavior of this statistic for a Brownian motion
+#' with drift.
+#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
+#' @author Peter Carl, Brian Peterson, Shubhankit Mohan
#' @keywords Expected Drawdown Using Brownian Motion Assumptions
#' @rdname EmaxDDGBM
#' @export
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/R/chart.Autocorrelation.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/R/chart.Autocorrelation.R 2013-08-17 11:39:33 UTC (rev 2804)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/R/chart.Autocorrelation.R 2013-08-17 14:34:10 UTC (rev 2805)
@@ -1,17 +1,20 @@
-#' Stacked Bar Plot of Autocorrelation Lag Coefficients
+#' @title Stacked Bar Autocorrelation Plot
#'
-#' A wrapper to create box and whiskers plot of comparitive inputs
+#' @description A wrapper to create box and whiskers plot of comparitive inputs
#'
-#' We have also provided controls for all the symbols and lines in the chart.
+#' @details We have also provided controls for all the symbols and lines in the chart.
#' One default, set by \code{as.Tufte=TRUE}, will strip chartjunk and draw a
#' Boxplot per recommendations by Burghardt, Duncan and Liu(2013)
#'
#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
#' an asset return
#' @return Stack Bar plot of lagged return coefficients
-#' @author R
+#' @author Peter Carl, Brian Peterson, Shubhankit Mohan
#' @seealso \code{\link[graphics]{boxplot}}
-#' @references Burghardt, Duncan and Liu(2013) \emph{It's the autocorrelation, stupid}. AlternativeEdge Note November, 2012 }
+#' @references Burghardt, G., and L. Liu, \emph{ It's the Autocorrelation, Stupid (November 2012) Newedge
+#' working paper.}
+#' \code{\link[stats]{}} \cr
+#' \url{http://www.amfmblog.com/assets/Newedge-Autocorrelation.pdf}
#' @keywords Autocorrelation lag factors
#' @examples
#'
@@ -28,7 +31,7 @@
# A wrapper to create box and whiskers plot, of autocorrelation lag coeffiecients
# of the First six factors
- R = checkData(R, method="xts")
+ # R = checkData(R, method="xts")
# Graph autos with adjacent bars using rainbow colors
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/man/ACStdDev.annualized.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/man/ACStdDev.annualized.Rd 2013-08-17 11:39:33 UTC (rev 2804)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/man/ACStdDev.annualized.Rd 2013-08-17 14:34:10 UTC (rev 2805)
@@ -3,9 +3,9 @@
\alias{sd.annualized}
\alias{sd.multiperiod}
\alias{StdDev.annualized}
-\title{calculate a multiperiod or annualized Autocorrleation adjusted Standard Deviation}
+\title{Autocorrleation adjusted Standard Deviation}
\usage{
- ACStdDev.annualized(R, lag = 6, scale = NA, ...)
+ ACsd.annualized(edhec,3)
}
\arguments{
\item{x}{an xts, vector, matrix, data frame, timeSeries
@@ -20,21 +20,16 @@
\item{\dots}{any other passthru parameters}
}
\description{
- calculate a multiperiod or annualized Autocorrleation
- adjusted Standard Deviation
+ Autocorrleation adjusted Standard Deviation
}
-\examples{
-data(edhec)
- ACsd.annualized(edhec,3)
-}
\author{
- R
+ Peter Carl,Brian Peterson, Shubhankit Mohan
}
\references{
Burghardt, G., and L. Liu, \emph{ It's the
Autocorrelation, Stupid (November 2012) Newedge working
- paper.http://www.amfmblog.com/assets/Newedge-Autocorrelation.pdf
- \cr
+ paper.} \code{\link[stats]{}} \cr
+ \url{http://www.amfmblog.com/assets/Newedge-Autocorrelation.pdf}
}
\seealso{
\code{\link[stats]{sd}} \cr
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/man/Return.GLM.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/man/Return.GLM.Rd 2013-08-17 11:39:33 UTC (rev 2804)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/man/Return.GLM.Rd 2013-08-17 14:34:10 UTC (rev 2805)
@@ -28,7 +28,7 @@
satisfy the following linear single-factor model: where:
\deqn{R(0,t) = \theta_{0}R(t) + \theta_{1}R(t-1) +
\theta_{2}R(t-2) .... + \theta_{k}R(t-k)} where
- \eqn{\theta} is defined as the weighted lag of
+ \eqn{\theta}'i is defined as the weighted lag of
autocorrelated lag and whose sum is 1.
}
\author{
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/man/chart.Autocorrelation.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/man/chart.Autocorrelation.Rd 2013-08-17 11:39:33 UTC (rev 2804)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/man/chart.Autocorrelation.Rd 2013-08-17 14:34:10 UTC (rev 2805)
@@ -1,6 +1,6 @@
\name{chart.Autocorrelation}
\alias{chart.Autocorrelation}
-\title{Stacked Bar Plot of Autocorrelation Lag Coefficients}
+\title{Stacked Bar Autocorrelation Plot}
\usage{
chart.Autocorrelation(R, ...)
}
@@ -27,12 +27,13 @@
chart.Autocorrelation(edhec[,1])
}
\author{
- R
+ Peter Carl, Brian Peterson, Shubhankit Mohan
}
\references{
- Burghardt, Duncan and Liu(2013) \emph{It's the
- autocorrelation, stupid}. AlternativeEdge Note November,
- 2012 }
+ Burghardt, G., and L. Liu, \emph{ It's the
+ Autocorrelation, Stupid (November 2012) Newedge working
+ paper.} \code{\link[stats]{}} \cr
+ \url{http://www.amfmblog.com/assets/Newedge-Autocorrelation.pdf}
}
\seealso{
\code{\link[graphics]{boxplot}}
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