[R-SIG-Finance] factoranalytics vs factoranalyticsuw
uelihofstetter at gmail.com
Thu Jul 16 17:26:34 CEST 2015
To clarify my original post:
It looks like the timeseries/macro factor model and the statistical factor
model are available (i.e. fitTsfm and fitSfm) but the fundamental factor
model is missing (although the function "fitFfm" is still mentioned in the
So my question would be: Has the fundamental factor model been removed or
renamed (if so, what is the new name)?
Again, any hints greatly appreciated
2015-07-16 16:49 GMT+02:00 Brian G. Peterson <brian at braverock.com>:
> Eric Zivot may comment as well, but the version in the returnanalytics
> branch is the current and actively worked on version.
> All the *functionality* the Yi-An worked on should be there.
> Unfortunately, all the *interfaces* are not the same. Extensions of the
> functionality, and continued standardization of the model interfaces,
> have resulted in changes that break backwards compatibility.
> Overall, I think the interface is cleaner and more consistent now, which
> is good. I am always unhappy to break backwards compatibility though.
> We felt that the number of active users of the code was small enough
> that new users would be better served by the cleaner, more consistent
> The current plan is to release the package to CRAN after this summer's
> On Thu, 2015-07-16 at 16:37 +0200, Ueli Hofstetter wrote:
> > hello,
> > does anyone know why there are two branches of the factor analytics
> > package, i.e. the one which looks like the "original" version
> > (factoranalyticsuw)
> > and the one merged into the returnanalytics package
> > https://r-forge.r-project.org/R/?group_id=579 ?
> > while the package merged into the returnanalytics library has more recent
> > updates, it seems that some of the functionality presented in
> > http://www.rinfinance.com/agenda/2014/workshop/YiAnChen.pdf
> > is missing.
> > any hints are greatly appreciated
> > cheers
> > [[alternative HTML version deleted]]
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> Brian G. Peterson
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> IM: bgpbraverock
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