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facmodTS
View on CRAN: Click
here
Download and install facmodTS package within the R console
Install from CRAN:
install.packages("facmodTS")
Install from Github:
library("remotes")
install_github("cran/facmodTS") Install by package version:
library("remotes")
install_version("facmodTS", "1.0") Attach the package and use:
library("facmodTS")
Maintained by
Doug Martin
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2023-11-09
Latest Update: 2023-11-09
Description:
Supports teaching methods of estimating and testing time series
factor models for use in robust portfolio construction and analysis. Unique
in providing not only classical least squares, but also modern robust model
fitting methods which are not much influenced by outliers. Includes
returns and risk decompositions, with user choice of standard deviation,
value-at-risk, and expected shortfall risk measures. "Robust Statistics
Theory and Methods (with R)", R. A. Maronna, R. D. Martin, V. J. Yohai,
M. Salibian-Barrera (2019) .
How to cite:
Doug Martin (2023). facmodTS: Time Series Factor Models for Asset Returns. R package version 1.0, https://cran.r-project.org/web/packages/facmodTS. Accessed 31 Oct. 2026.
Previous versions and publish date:
No previous versions
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Other R packages that facmodTS depends,
imports, suggests or enhances
Complete documentation for facmodTS
Functions, R codes and Examples using
the facmodTS R package
Some associated functions: facmodTS-package . fitTsfm.control . fitTsfm . fitTsfmLagLeadBeta . fitTsfmMT . fitTsfmUpDn . fmCov . fmEsDecomp . fmSdDecomp . fmVaRDecomp . paFm . plot.pafm . plot.tsfm . plot.tsfmUpDn . predict.tsfm . predict.tsfmUpDn . print.pafm . print.tsfm . print.tsfmUpDn . summary.pafm . summary.tsfm . summary.tsfmUpDn .
Some associated R codes: facmodTS-package.R . fit.Tsfm.control.R . fitTsfm.R . fitTsfmLagLeadBeta.R . fitTsfmMT.R . fitTsfmUpDn.R . fmCov.R . fmEsDecomp.R . fmSdDecomp.R . fmVaRDecomp.R . paFm.R . plot.pafm.R . plot.tsfm.R . plot.tsfmUpDn.R . predict.tsfm.R . predict.tsfmUpDn.R . print.pafm.R . print.tsfm.R . print.tsfmUpDn.R . summary.pafm.R . summary.tsfm.R . summary.tsfmUpDn.R . Full facmodTS package functions and examples
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