facmodTS

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) doi:10.1002/9781119214656.

Last 30 days

This package has been downloaded 218 times in the last 30 days. Now we're getting somewhere! Enough downloads to populate a lively group chat. The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 9 times.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Last 365 days

This package has been downloaded 2,777 times in the last 365 days. Now we’re talking! This work is officially 'heard of in academic circles', just like those wild research papers on synthetic bananas. The day with the most downloads was Jan 21, 2025 with 33 downloads.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.