R 性能分析中的CAPM.alpha错误
当我尝试运行PerformanceAnalytics参考第22页中的示例时,会收到一条错误消息。见下文 PS我是一个初学者&这对我来说从来没有起过作用。另外,我的根本问题是,在尝试将table.CAPM用于我自己的数据时,我遇到了完全相同的错误 谢谢你的帮助R 性能分析中的CAPM.alpha错误,r,performanceanalytics,R,Performanceanalytics,当我尝试运行PerformanceAnalytics参考第22页中的示例时,会收到一条错误消息。见下文 PS我是一个初学者&这对我来说从来没有起过作用。另外,我的根本问题是,在尝试将table.CAPM用于我自己的数据时,我遇到了完全相同的错误 谢谢你的帮助 > search() [1] ".GlobalEnv" "package:PerformanceAnalytics" [3] "package:xts" "pack
> search()
[1] ".GlobalEnv" "package:PerformanceAnalytics"
[3] "package:xts" "package:zoo"
[5] "package:stats" "package:graphics"
[7] "package:grDevices" "package:utils"
[9] "package:datasets" "package:methods"
[11] "Autoloads" "package:base"
> version
_
platform x86_64-w64-mingw32
arch x86_64
os mingw32
system x86_64, mingw32
status
major 2
minor 15.2
year 2012
month 10
day 26
svn rev 61015
language R
version.string R version 2.15.2 (2012-10-26)
nickname Trick or Treat
> data(managers)
> CAPM.alpha(managers[,1,drop=FALSE], managers[,8,drop=FALSE], Rf=.035/12)
Error in lm.fit(x, y, offset = offset, singular.ok = singular.ok, ...) :
0 (non-NA) cases
>
错误不在代码中,而是在R包中。它显示在包装验证检查上,可通过以下方式复制:
library(PerformanceAnalytics)
example(CAPM.alpha)
错误似乎出现在Return.over.R的第40行。应将其替换为:
xR = coredata(as.xts(R))-coredata(as.xts(Rf))
在实践中解决此问题的最简单方法是运行:
require(utils)
assignInNamespace(
"Return.excess",
function (R, Rf = 0)
{ # @author Peter Carl
# edited by orizon
# .. additional comments removed
R = checkData(R)
if(!is.null(dim(Rf))){
Rf = checkData(Rf)
indexseries=index(cbind(R,Rf))
columnname.Rf=colnames(Rf)
}
else {
indexseries=index(R)
columnname.Rf=Rf
Rf=xts(rep(Rf, length(indexseries)),order.by=indexseries)
}
return.excess <- function (R,Rf)
{
xR = coredata(as.xts(R))-coredata(as.xts(Rf)) #fixed
}
result = apply(R, MARGIN=2, FUN=return.excess, Rf=Rf)
colnames(result) = paste(colnames(R), ">", columnname.Rf)
result = reclass(result, R)
return(result)
},
"PerformanceAnalytics"
)
请注意,我尚未验证该函数是否执行了它声称的功能。已接受。(我先错过了这个选项。)我之前尝试过+1答案,但排名新手(分数低于15分)不行。无论如何,我非常感谢您。这在R-Forge版本的代码中已经修复了很长一段时间。@Brian我看到它已经修复了——您打算推出更新吗?
> data(managers)
> CAPM.alpha(managers[,1,drop=FALSE], managers[,8,drop=FALSE], Rf=.035/12)
[1] 0.005960609