fRegression-package {fRegression}R Documentation

Regression Modelling Package

Description

Package of functions for regression modelling.

Details

Package: fRegression
Type: Package
Version: 261.73.1
Date: 2008
License: GPL Version 2 or later
Copyright: (c) 1999-2008 Diethelm Wuertz, Rmetrics Foundation
URL: http://www.rmetrics.org

Regression modelling, especially linear modelling, is a widely used application in finance. In finance it mostly appears in the form that a variable is modelled as a linear or more complex relationship as a function of other variables. For example the decision of buying or selling in a trading model may be triggered by the outcome of a regression model, e.g. neural networks are a well known tool in this field.

Rmetrics has build a simple interface to several regression models available in the base and contributed packages of R. By default the following regression models are interfaced and available through the function regFit:

...

All the functions of the regFit family return the same object, an object of class "fREG" with the following slots: call, formula, method, data, fit, residuals, fitted, title, and description.

Thus, independent of the regression model applied we can use the same S4 methods for all types of regression. This includes, print, plot, summary, predict, fitted, residuals, coef, and formula methods.

Evenmore the user can add further regression models to this framework either his own implementations or implementations available through contributed R packages.

Class Representation

contains functions to simulate artificial regression models.

Functions:

regSim Simulates artificail regression model data sets.

Simulation of Regression Models

contains functions to fit the parameters regression models

Functions:

regFit Estimates the parameters of a regression model,
gregFit Estimates the parameters of a generalized regression model,
fitted Extracts fitted values from a fitted 'fREG' object,
residuals Extracts residuals from a fitted 'fREG' object,
coef Extracts coefficients from a fitted 'fREG' object,
formula Extracts formula expression from a fitted 'fREG' object.

Forecasting

contains functions to forcecast from a regression model.

Functions:

predict Forecasts from an object of class 'fREG'.

Author(s)

Diethelm Wuertz and Rmetrics Core Team.


[Package fRegression version 270.74 Index]