statistical.factor.model: Statistical Factor Model
Description
Fit a statistical factor model using Principal Component Analysis (PCA)
Usage
statistical.factor.model(R, k = 1, ...)
Arguments
R
xts of asset returns
k
number of factors to use
...
additional arguments passed to prcomp
Value
#'
factor_loadings N x k matrix of factor loadings (i.e. betas)
factor_realizations m x k matrix of factor realizations
residuals m x N matrix of model residuals representing idiosyncratic
risk factors
Where N is the number of assets, k is the number of factors, and m is the
number of observations.
Details
The statistical factor model is fitted using prcomp. The factor
loadings, factor realizations, and residuals are computed and returned
given the number of factors used for the model.