as.data.frame.par.fit: Convert a fit of the PAR model to a single row data.frame

Description

Convert a fit of the PAR model to a single row data.frame

## S3 method for class 'par.fit':
as.data.frame(x, row.names, optional, ...)

An object of class par.fit. See fit.par

row.names

Not used

optional

Not used

...

Not used

Returns a single row data.frame, with the following columns:
robustTRUE if robust estimation was used.
nuIf robust is TRUE, then this is the degrees-of-freedom parameter used in the t-distribution for the robust estimation.
opt_methodThe optimization method that was used for finding these parameters.
nLength of the vector that was fit to the PAR model
rhoEstimate of the coefficient of mean reversion
sigma_MEstimate of the standard deviation of the innovations of the transient (mean-reverting) component.
sigma_REstimate of the standard deviation of the innovations of the permanent (random walk) component.
M0Estimate of the initial value of the transient component.
R0Estimate of the initial value of the permanent component.
rho.seStandard error of the estimate of rho.
sigma_M.seStandard error of the estimate of sigma_M.
sigma_R.seStandard error of the estimate of sigma_R.
M0.seStandard error of the estimate of M0.
R0.seStandard error of the estimate of R0.
lambdaValue of the penalty factor lambda that was used in computing the estimates.
pvmrProportion of variance attributable to mean reversion.
negloglikNegative log-likelihood of the model given these parameters.

require(TTR)
    L <- getYahooData("L", 20120101, 20131231)$Close
    fit.par(L)
    as.data.frame(fit.par(L))

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