Wrapper for SFM's regression models. — .coefficients • PerformanceAnalytics

This is intended to be called using SFM.coefficients function, and not directly.

Usage

.coefficients(xRa, xRb, subset, ..., method = "LS", family = "mopt")

xRa: an xts, vector, matrix, data frame, timeSeries or zoo object of excess asset returns
xRb: excess return vector of the benchmark asset
subset: a logical vector
...: arguments passed to other methods
method: Which linear model to use for SFM regression
family: If method is "Rob", then this is a string specifying the name of the family of loss function to be used (current valid options are "bisquare", "opt" and "mopt"). Incomplete entries will be matched to the current valid options. Defaults to "mopt".

Dhairya Jain