Collection of econometric functions for performance and risk analysis.
This package aims to aid practitioners and researchers in utilizing
the latest research in analysis of non-normal return streams. In
general, it is most tested on return (rather than price) data on a
regular scale, but most functions will work with irregular return
data as well, and increasing numbers of functions will work with
P&L or price data where possible.
WWW: http://cran.r-project.org/web/packages/PerformanceAnalytics/
The quantmod package for R is designed to assist the quantitative
trader in the development, testing, and deployment of statistically
based trading models.
WWW: http://www.quantmod.com/
Estimation, lag selection, diagnostic testing, forecasting, causality
analysis, forecast error variance decomposition and impulse response
functions of VAR models and estimation of SVAR/SVEC models.
WWW: http://cran.r-project.org/web/packages/vars/
Testing, monitoring and dating structural changes in (linear)
regression models. strucchange features tests/methods from the
generalized fluctuation test framework as well as from the F test
(Chow test) framework. This includes methods to fit, plot and test
fluctuation processes (e.g., CUSUM, MOSUM, recursive/moving estimates)
and F statistics, respectively. It is possible to monitor incoming
data online using fluctuation processes. Finally, the breakpoints
in regression models with structural changes can be estimated
together with confidence intervals. Emphasis is always given to
methods for visualizing the data.
WWW: http://cran.r-project.org/web/packages/strucchange/
Panel data econometrics is obviously one of the main fields in the
profession, but most of the models used are difficult to estimate with
R. plm is a package for R which intends to make the estimation of
linear panel models straightforward. plm provides functions to
estimate a wide variety of models and to make (robust) inference.
WWW: http://cran.r-project.org/web/packages/plm/
installation path.
- By the way, the port now depends on devel/grantlee.
- Pass maintainership to kde@, as suggested by makc.
Approved by: makc (maintainer)
ports use BUILD_DEPENDS:= ${RUN_DEPENDS}. This patch fixes ports that are
currently broken. This is a temporary measure until we organically stop using
:= or someone(s) spend a lot of time changing all the ports over.
Explicit duplication > := > = and this just moves ports one step to the left
Approved by: portmgr
literal name_enable wherever possible, and ${name}_enable
when it's not, to prepare for the demise of set_rcvar().
In cases where I had to hand-edit unusual instances also
modify formatting slightly to be more uniform (and in
some cases, correct). This includes adding some $FreeBSD$
tags, and most importantly moving rcvar= to right after
name= so it's clear that one is derived from the other.
warning and allow testing
- Bump PORTREVISION due to added dependency
- Expand value of BUILD_DEPENDS before assigning to RUN_DEPENDS as
suggested by the Porters Handbook
warning and allow testing
- Bump PORTREVISION due to added dependency
- Expand value of BUILD_DEPENDS before assigning to RUN_DEPENDS as
suggested by the Porters Handbook
