Package: facmodTS
Type: Package
Title: Time Series Models for Asset Returns
Version: 1.0
Date: 2023-10-27
Authors@R: c(person(given="Doug",family="Martin",role=c("cre","aut"),
     email="martinrd3d@gmail.com"),
     person(given="Eric",family="Zivot",role="aut"),
     person(given="Sangeetha",family="Srinivasan",role="aut"),
     person(given="Avinash",family="Acharya",role="ctb"),
     person(given="Yi-An",family="Chen",role="ctb"),
     person(given="Kirk",family="Li",role="ctb"),
     person(given="Lingjie",family="Yi",role="ctb"),
     person(given="Justin",family="Shea",role="ctb"),
     person(given="Mido",family="Shammaa",role="ctb"),
     person(given="Jon",family="Spinney",role="ctb"))
Description: Supports teaching methods of estimating and testing time
        series 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>.
License: GPL-2
Depends: R (>= 3.5)
Imports: boot, data.table, fit.models, lars, lattice, leaps,
        PerformanceAnalytics, PortfolioAnalytics, R.cache, corpcor,
        methods, quadprog, RobStatTM, robustbase, sandwich, sn, xts,
        zoo
Suggests: corrplot, HH, lmtest, R.rsp, rugarch, strucchange, tinytest
URL: https://github.com/robustport/facmodTS
RoxygenNote: 7.3.2
Encoding: UTF-8
Config/pak/sysreqs: coinor-symphony coinor-libsymphony-dev
Repository: https://robustport.r-universe.dev
Date/Publication: 2025-03-08 02:50:05 UTC
RemoteUrl: https://github.com/robustport/facmodts
RemoteRef: HEAD
RemoteSha: 169897e896e7294eeee8bc1a6861e2e316e59ea5
NeedsCompilation: no
Packaged: 2026-10-06 09:48:16 UTC; root
Author: Doug Martin [cre, aut],
  Eric Zivot [aut],
  Sangeetha Srinivasan [aut],
  Avinash Acharya [ctb],
  Yi-An Chen [ctb],
  Kirk Li [ctb],
  Lingjie Yi [ctb],
  Justin Shea [ctb],
  Mido Shammaa [ctb],
  Jon Spinney [ctb]
Maintainer: Doug Martin <martinrd3d@gmail.com>