Package: INFOSET 4.0.6
Gloria Polinesi
INFOSET: Computing a New Informative Distribution Set of Asset Returns
Estimation of the most-left informative set of gross returns (i.e., the informative set). The procedure to compute the informative set adjusts the method proposed by Mariani et al. (2022a) <doi:10.1007/s11205-020-02440-6> and Mariani et al. (2022b) <doi:10.1007/s10287-022-00422-2> to gross returns of financial assets. This is accomplished through an adaptive algorithm that identifies sub-groups of gross returns in each iteration by approximating their distribution with a sequence of two-component log-normal mixtures. These sub-groups emerge when a significant change in the distribution occurs below the median of the financial returns, with their boundary termed as the “change point" of the mixture. The process concludes when no further change points are detected. The outcome encompasses parameters of the leftmost mixture distributions and change points of the analyzed financial time series.
Authors:
INFOSET_4.0.6.tar.gz
INFOSET_4.0.6.tar.gz(r-4.5-noble)INFOSET_4.0.6.tar.gz(r-4.4-noble)
INFOSET_4.0.6.tgz(r-4.4-emscripten)INFOSET_4.0.6.tgz(r-4.3-emscripten)
INFOSET.pdf |INFOSET.html✨
INFOSET/json (API)
| # Install 'INFOSET' in R: |
| install.packages('INFOSET', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
- asset.label - Data for clustering and labeling ETFs
- sample.data - Data for infoset function
- sample.data.ts - Data with time points for portfolio construction using the LR_cp measure
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 11 days agofrom:69f5b66347. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Sep 08 2024 |
| R-4.5-linux | OK | Sep 08 2024 |
Exports:g_retinfosettail_mixture
Dependencies:askpassbase64encbslibcachemclicolorspacecpp11crosstalkcurldata.tabledendextenddigestdplyrevaluatefansifarverfastmapfontawesomefsgenericsggplot2gluegridExtragtablehighrhtmltoolshtmlwidgetshttrisobandjquerylibjsonlitekernlabknitrlabelinglaterlatticelazyevallifecyclemagrittrMASSMatrixmemoisemgcvmimemixtoolsmunsellnlmeopensslpillarpkgconfigplotlypromisespurrrquadprogR6rappdirsRColorBrewerRcpprlangrmarkdownsassscalessegmentedstringistringrsurvivalsystibbletidyrtidyselecttinytexutf8vctrsviridisviridisLitewithrxfunyaml
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Data for clustering and labeling ETFs | asset.label |
| Function to compute gross returns. | g_ret |
| Procedure to find the most-left distribution set. | infoset |
| Data for infoset function | sample.data |
| Data with time points for portfolio construction using the LR_cp measure | sample.data.ts |
| Function to find the most-left distribution set. | tail_mixture |