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#43 fixed errors from managers data names
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@JustinMShea
JustinMShea committed Aug 21, 2021
1 parent 07ffa37 commit a79c0c3
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6 changes: 6 additions & 0 deletions R/fmCov.R
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Original file line number Diff line number Diff line change
Expand Up @@ -47,7 +47,13 @@
#'
#' @examples
#' # Time Series Factor model
#' # load data
#' data(managers, package = 'PerformanceAnalytics')
#' # Make syntactically valid column names
#' colnames(managers)
#' colnames(managers) <- make.names( colnames(managers))
#' colnames(managers)
#'
#' fit <- fitTsfm(asset.names=colnames(managers[, (1:6)]),
#' factor.names=c("EDHEC.LS.EQ","SP500.TR"), data=managers)
#' fmCov(fit)
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6 changes: 6 additions & 0 deletions man/fmCov.Rd
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1 comment on commit a79c0c3

@martinrd3D
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  1. With regard to column names in managers, I'm not quite sure what your fix 20 minutes ago does, but my recommendation is to change the names in the example as follows: names(managers)[7:10] <- c("LSEQ","SP500","TBill10Y","TBill3M") (the original names for these in PerformanceAnalytics were quite unfortunate in a way, but will never be changed).

  2. The bigger problem is likely to be due to changes made to fitTsfm (called by fitTsfmUpDn) to switch from using lmRob from the robust R package to using lmrobdetMM() from the RobStatTM package. I will ask Kirk if he can look into this.

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