[Returnanalytics-commits] r3641 - in pkg/FactorAnalytics: . R man tests vignettes
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sun Apr 26 07:56:47 CEST 2015
Author: pragnya
Date: 2015-04-26 07:56:44 +0200 (Sun, 26 Apr 2015)
New Revision: 3641
Added:
pkg/FactorAnalytics/tests/FactorAnalytics_04_25_15.pdf
Removed:
pkg/FactorAnalytics/tests/FactorAnalytics_04_21_15.pdf
Modified:
pkg/FactorAnalytics/DESCRIPTION
pkg/FactorAnalytics/R/fitTsfm.R
pkg/FactorAnalytics/R/fitTsfm.control.R
pkg/FactorAnalytics/R/plot.tsfm.r
pkg/FactorAnalytics/man/fitTsfm.control.Rd
pkg/FactorAnalytics/vignettes/fitTsfm_vignette.Rnw
pkg/FactorAnalytics/vignettes/fitTsfm_vignette.pdf
Log:
Added lmRob control parameters
Modified: pkg/FactorAnalytics/DESCRIPTION
===================================================================
--- pkg/FactorAnalytics/DESCRIPTION 2015-04-25 13:08:18 UTC (rev 3640)
+++ pkg/FactorAnalytics/DESCRIPTION 2015-04-26 05:56:44 UTC (rev 3641)
@@ -1,8 +1,8 @@
Package: factorAnalytics
Type: Package
Title: Factor Analytics
-Version:2.0.18
-Date:2015-04-21
+Version:2.0.19
+Date:2015-04-25
Author: Eric Zivot, Sangeetha Srinivasan and Yi-An Chen
Maintainer: Sangeetha Srinivasan <sangee at uw.edu>
Description: An R package for the estimation and risk analysis of linear factor
Modified: pkg/FactorAnalytics/R/fitTsfm.R
===================================================================
--- pkg/FactorAnalytics/R/fitTsfm.R 2015-04-25 13:08:18 UTC (rev 3640)
+++ pkg/FactorAnalytics/R/fitTsfm.R 2015-04-26 05:56:44 UTC (rev 3641)
@@ -185,8 +185,8 @@
m1 <- match(c("weights","model","x","y","qr"),
names(control), 0L)
lm.args <- control[m1, drop=TRUE]
- m2 <- match(c("weights","model","x","y","nrep","efficiency"),
- names(control), 0L)
+ m2 <- match(c("weights","model","x","y","nrep","efficiency","mxr","mxf",
+ "mxs","trace"), names(control), 0L)
lmRob.args <- control[m2, drop=TRUE]
m3 <- match(c("scope","scale","direction","trace","steps","k"),
names(control), 0L)
Modified: pkg/FactorAnalytics/R/fitTsfm.control.R
===================================================================
--- pkg/FactorAnalytics/R/fitTsfm.control.R 2015-04-25 13:08:18 UTC (rev 3640)
+++ pkg/FactorAnalytics/R/fitTsfm.control.R 2015-04-26 05:56:44 UTC (rev 3641)
@@ -45,6 +45,12 @@
#' resampling is being used, the value of \code{nrep} is ignored.
#' @param efficiency the asymptotic efficiency of the final estimate for
#' \code{fit.method="Robust"}. Default is 0.9.
+#' @param mxr the maximum number of iterations in the refinement step. Default
+#' is 50.
+#' @param mxf the maximum number of iterations for computing final coefficient
+#' estimates. Default is 50.
+#' @param mxs the maximum number of iterations for computing scale estimate.
+#' Default is 50.
#' @param scope defines the range of models examined in the \code{"stepwise"}
#' search. This should be either a single formula, or a list containing
#' components \code{upper} and \code{lower}, both formulae. See
@@ -56,9 +62,10 @@
#' "backward", or "forward", with a default of "both". If the \code{scope}
#' argument is missing the default for \code{direction} is "backward".
#' @param trace If positive (or, not \code{FALSE}), info is printed during the
-#' running of \code{\link[stats]{step}}, \code{\link[robust]{step.lmRob}},
-#' \code{\link[lars]{lars}} or \code{\link[lars]{cv.lars}} as relevant. Larger
-#' values may give more detailed information. Default is \code{FALSE}.
+#' running of \code{\link[robust]{lmRob}}, \code{\link[stats]{step}},
+#' \code{\link[robust]{step.lmRob}}, \code{\link[lars]{lars}} or
+#' \code{\link[lars]{cv.lars}} as relevant. Larger values may give more
+#' detailed information. Default is \code{FALSE}.
#' @param steps the maximum number of steps to be considered for
#' \code{"stepwise"}. Default is 1000 (essentially as many as required). It is
#' typically used to stop the process early.
@@ -131,11 +138,11 @@
#'
fitTsfm.control <- function(decay=0.95, weights, model=TRUE, x=FALSE, y=FALSE,
- qr=TRUE, nrep=NULL, efficiency=0.9, scope, scale,
- direction, trace=FALSE, steps=1000, k=2, nvmin=1,
- nvmax=8, force.in=NULL, force.out=NULL, method,
- really.big=FALSE, type, normalize=TRUE,
- eps=.Machine$double.eps, max.steps,
+ qr=TRUE, nrep=NULL, efficiency=0.9, mxr=50, mxf=50,
+ mxs=50, scope, scale, direction, trace=FALSE,
+ steps=1000, k=2, nvmin=1, nvmax=8, force.in=NULL,
+ force.out=NULL, method, really.big=FALSE, type,
+ normalize=TRUE, eps=.Machine$double.eps, max.steps,
lars.criterion="Cp", K=10) {
# get the user-specified arguments (that have no defaults)
@@ -186,10 +193,10 @@
# return list of arguments with defaults if they are unspecified
result <- c(args, list(decay=decay, model=model, x=x, y=y, qr=qr, nrep=nrep,
- efficiency=efficiency, trace=trace, steps=steps, k=k,
- nvmin=nvmin, nvmax=nvmax, force.in=force.in,
- force.out=force.out, really.big=really.big,
- normalize=normalize, eps=eps,
+ efficiency=efficiency, mxr=mxr, mxf=mxf, mxs=mxs,
+ trace=trace, steps=steps, k=k, nvmin=nvmin,
+ nvmax=nvmax, force.in=force.in, force.out=force.out,
+ really.big=really.big, normalize=normalize, eps=eps,
lars.criterion=lars.criterion, K=K))
return(result)
}
Modified: pkg/FactorAnalytics/R/plot.tsfm.r
===================================================================
--- pkg/FactorAnalytics/R/plot.tsfm.r 2015-04-25 13:08:18 UTC (rev 3640)
+++ pkg/FactorAnalytics/R/plot.tsfm.r 2015-04-26 05:56:44 UTC (rev 3641)
@@ -375,7 +375,7 @@
}
rawdata <- coredata(merge.xts(x$data[,i], x$data[,x$factor.names]))
plot(x=rawdata[,2], y=rawdata[,1], pch=20, main="",
- xlab=paste(x$factor.names, "Returns"), ylab=paste(i,"Returns"))
+ xlab=paste(x$factor.names, "Returns"), ylab=paste(i,"Returns"), ...)
coef <- summary(fit)$coefficients
a=coef[1,1]; b=coef[2,1]
se.a=round(coef[1,2],2); se.b=round(coef[2,2],2)
@@ -552,14 +552,14 @@
asset <- x$asset.names[i]
rawdata <- coredata(merge.xts(x$data[,asset], x$data[,x$factor.names]))
plot(x=rawdata[,2], y=rawdata[,1], pch=20, main="",
- xlab=paste(x$factor.names, "Returns"), ylab=paste(asset,"Returns"))
+ xlab=paste(x$factor.names, "Returns"), ylab=paste(asset,"Returns"), ...)
coef <- summary(fit)$coefficients
a=coef[1,1]; b=coef[2,1]
se.a=round(coef[1,2],2); se.b=round(coef[2,2],2)
abline(a=a, b=b, col="red", lty=2, lwd=2)
lgnd <- c(bquote(.(meth) ~~ hat(alpha) == .(round(a,2))~(.(se.a))),
bquote(.(meth) ~~ hat(beta) == .(round(b,2))~(.(se.b))))
- legend(x=legend.loc, bty="n", legend=as.expression(lgnd))
+ legend(x=legend.loc, bty="n", legend=as.expression(lgnd), cex=0.9)
}
par(mfrow=c(1,1))
},
Modified: pkg/FactorAnalytics/man/fitTsfm.control.Rd
===================================================================
--- pkg/FactorAnalytics/man/fitTsfm.control.Rd 2015-04-25 13:08:18 UTC (rev 3640)
+++ pkg/FactorAnalytics/man/fitTsfm.control.Rd 2015-04-26 05:56:44 UTC (rev 3641)
@@ -5,11 +5,11 @@
\title{List of control parameters for \code{fitTsfm}}
\usage{
fitTsfm.control(decay = 0.95, weights, model = TRUE, x = FALSE,
- y = FALSE, qr = TRUE, nrep = NULL, efficiency = 0.9, scope, scale,
- direction, trace = FALSE, steps = 1000, k = 2, nvmin = 1, nvmax = 8,
- force.in = NULL, force.out = NULL, method, really.big = FALSE, type,
- normalize = TRUE, eps = .Machine$double.eps, max.steps,
- lars.criterion = "Cp", K = 10)
+ y = FALSE, qr = TRUE, nrep = NULL, efficiency = 0.9, mxr = 50,
+ mxf = 50, mxs = 50, scope, scale, direction, trace = FALSE,
+ steps = 1000, k = 2, nvmin = 1, nvmax = 8, force.in = NULL,
+ force.out = NULL, method, really.big = FALSE, type, normalize = TRUE,
+ eps = .Machine$double.eps, max.steps, lars.criterion = "Cp", K = 10)
}
\arguments{
\item{decay}{a scalar in (0, 1] to specify the decay factor for "DLS".
@@ -34,6 +34,15 @@
\item{efficiency}{the asymptotic efficiency of the final estimate for
\code{fit.method="Robust"}. Default is 0.9.}
+\item{mxr}{the maximum number of iterations in the refinement step. Default
+is 50.}
+
+\item{mxf}{the maximum number of iterations for computing final coefficient
+estimates. Default is 50.}
+
+\item{mxs}{the maximum number of iterations for computing scale estimate.
+Default is 50.}
+
\item{scope}{defines the range of models examined in the \code{"stepwise"}
search. This should be either a single formula, or a list containing
components \code{upper} and \code{lower}, both formulae. See
@@ -48,9 +57,10 @@
argument is missing the default for \code{direction} is "backward".}
\item{trace}{If positive (or, not \code{FALSE}), info is printed during the
-running of \code{\link[stats]{step}}, \code{\link[robust]{step.lmRob}},
-\code{\link[lars]{lars}} or \code{\link[lars]{cv.lars}} as relevant. Larger
-values may give more detailed information. Default is \code{FALSE}.}
+running of \code{\link[robust]{lmRob}}, \code{\link[stats]{step}},
+\code{\link[robust]{step.lmRob}}, \code{\link[lars]{lars}} or
+\code{\link[lars]{cv.lars}} as relevant. Larger values may give more
+detailed information. Default is \code{FALSE}.}
\item{steps}{the maximum number of steps to be considered for
\code{"stepwise"}. Default is 1000 (essentially as many as required). It is
Deleted: pkg/FactorAnalytics/tests/FactorAnalytics_04_21_15.pdf
===================================================================
(Binary files differ)
Added: pkg/FactorAnalytics/tests/FactorAnalytics_04_25_15.pdf
===================================================================
(Binary files differ)
Property changes on: pkg/FactorAnalytics/tests/FactorAnalytics_04_25_15.pdf
___________________________________________________________________
Added: svn:mime-type
+ application/octet-stream
Modified: pkg/FactorAnalytics/vignettes/fitTsfm_vignette.Rnw
===================================================================
--- pkg/FactorAnalytics/vignettes/fitTsfm_vignette.Rnw 2015-04-25 13:08:18 UTC (rev 3640)
+++ pkg/FactorAnalytics/vignettes/fitTsfm_vignette.Rnw 2015-04-26 05:56:44 UTC (rev 3641)
@@ -258,7 +258,7 @@
For easy reference, here's a classified list of control parameters accepted and passed by \code{fitTsfm} to their respective model fitting (or) model selection functions in other packages. See the corresponding help files for more details on each parameter.
\begin{itemize}
\item \verb"lm": "weights","model","x","y","qr"
-\item \verb"lmRob": "weights","model","x","y","nrep","efficiency"
+\item \verb"lmRob": "weights","model","x","y","nrep","efficiency","mxr","mxf","mxs","trace"
\item \verb"step": "scope","scale","direction","trace","steps","k"
\item \verb"regsubsets": "weights","nvmax","force.in","force.out","method","really.big"
\item \verb"lars": "type","normalize","eps","max.steps","trace"
Modified: pkg/FactorAnalytics/vignettes/fitTsfm_vignette.pdf
===================================================================
(Binary files differ)
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