Plots not working in fitFfm_vignette_04_09.Rnw

[JustinMShea]

Various plots no longer work, debug/troubleshoot @sangeeuw

[sangeeuw]

The underlying packages used are many years out of date and the plot functions referenced and sourced likely need to be have sympathetic updates. There's a ton of different plot options for single and multiple asset plots, so not necessarily trivial.

Thanks, Sangeetha

On Tue, Jun 22, 2021, 2:48 PM Justin M. Shea @.***> wrote:

Various plots no longer work, debug/troubleshoot @sangeeuw https://github.com/sangeeuw

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[JustinMShea]

Thank you! Should we consider new approach to plotting?

[sangeeuw]

Sure, that makes sense.

On Tue, Jun 22, 2021, 3:13 PM Justin M. Shea @.***> wrote:

Thank you! Should we consider new approach to plotting?

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[JustinMShea]

Thank you @sangeeuw!

Just spoke with Doug, and he would like to push FactorAnalytics to CRAN right away, and the issues with this vignette are currently getting in the way of that.

Thus, he suggested moving this vignette to the sandbox as a temporary solution until we can resolve the issues associated with it. In addition to fixing this issue, Doug that completing enhancements for issue #17 by including the new CRSP data he has permission for would be best. He also suggested completing enhancement #18 before it goes to CRAN.

It would be very nice to include this excellent vignette in the first CRAN release of FactorAnalytics, but we'll need to fix these things for that to happen. I'm up for a zoom call too, just let me know!

[sangeeuw]

Thanks for the update, Justin. All these suggestions sound great. I'll email you separately about getting on a zoom call in the next week or so.

On Tue, Jun 22, 2021, 4:29 PM Justin M. Shea @.***> wrote:

Thank you @sangeeuw https://github.com/sangeeuw!

Just spoke with Doug, and he would like to push FactorAnalytics to CRAN right away, and the issues with this vignette are currently getting in the way of that.

Thus, he suggested moving this vignette to the sandbox at a temporary solution until we can resolve the issues associated with it.

In addition to fixing this issue, Doug that completing enhancements for issue #17 https://github.com/braverock/FactorAnalytics/issues/17 by including the new CRSP data he has permission for would be best. He also suggested completing enhancement #18 https://github.com/braverock/FactorAnalytics/issues/18 before it goes to CRAN.

It would be very nice to include this excellent vignette in the first CRAN release of FactorAnalytics, but we'll need to fix these things for that to happen.

I'm up for a zoom call too, just let me know!

— You are receiving this because you were mentioned. Reply to this email directly, view it on GitHub https://github.com/braverock/FactorAnalytics/issues/19#issuecomment-866403589, or unsubscribe https://github.com/notifications/unsubscribe-auth/AIEXKEWG7SGXQLJOEHTI65TTUEMG7ANCNFSM47EQ6NGA .

[midoshammaa]

Hi Justin I would like to help. Cc me on the zoom link

Sent from my iPhone

On Jun 22, 2021, at 6:29 PM, Justin M. Shea @.***> wrote:

 Thank you @sangeeuw!

Just spoke with Doug, and he would like to push FactorAnalytics to CRAN right away, and the issues with this vignette are currently getting in the way of that.

Thus, he suggested moving this vignette to the sandbox at a temporary solution until we can resolve the issues associated with it.

In addition to fixing this issue, Doug that completing enhancements for issue #17 by including the new CRSP data he has permission for would be best. He also suggested completing enhancement #18 before it goes to CRAN.

It would be very nice to include this excellent vignette in the first CRAN release of FactorAnalytics, but we'll need to fix these things for that to happen.

I'm up for a zoom call too, just let me know!

— You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub, or unsubscribe.

[JustinMShea]

Very good Sangeetha, I'll look out for your email and lets loop in Mido as well! He's been contributing excellent work by porting fitFfm to a data.table version ( fitFfmDT ) so the package can more quickly handle larger equity universe data sets!

[JustinMShea]

From @kecoli Notes and plan to fix. @sangeeuw, please advise if you have any input!

plot(fit.sub, plot.single=TRUE, asset.name="HAM1")

Make a plot selection (or 0 to exit): 1: Actual and fitted asset returns (not working) 2: Actual vs fitted asset returns 3: Residuals vs fitted asset returns 4: Sqrt. of modified residuals vs fitted 5: Residuals with standard error bands (not working) 6: Time series of squared residuals (not working) 7: Time series of absolute residuals (not working) 8: SACF and PACF of residuals 9: SACF and PACF of squared residuals 10: SACF and PACF of absolute residuals 11: Non-parametric density of residuals with normal overlaid 12: Non-parametric density of residuals with skew-t overlaid 13: Histogram of residuals with non-parametric density and normal overlaid 14: QQ-plot of residuals 15: CUSUM test-Recursive residuals 16: CUSUM test-LS residuals 17: Recursive estimates (RE) test of LS regression coefficients 18: Rolling regression over a 24-period observation window 19: Asset returns vs factor returns (single factor model)

[martinrd3D]

As Justin and I discussed, we will not include fitFfm_vignette_04_09.Rnw in the first release on CRAN, and same for the related data. Both of those will be put in the sandbox for possible consideration at a future data. One point: Kirk is now familiar with the plot.xts functionality as a result of fixing problems with it in fitTsfm, so perhaps in the future he may be able to fix plot issues in fitFfm. But that will need to be evaluated relative to other priorities.

[sangeeuw]

Thanks for the update, Doug. Sounds good to me.

Though factorAnalytics is very special to me and I'd love to contribute on an ongoing basis, I've been through a lot of trauma and grief over the past year as well as ongoing medical treatments that make it hard to spare time to revisit this especially after so many years. I need to prioritize self care, my family and succeeding at the new job for the next couple years at least.

I'm looking forward to the CRAN release of the updated package. Congrats for getting this done and thanks to everyone!

Best, Sangeetha

On Thu, Jul 29, 2021, 2:58 PM R. Douglas Martin @.***> wrote:

As Justin and I discussed, we will not include fitFfm_vignette_04_09.Rnw in the first release on CRAN, and same for the related data. Both of those will be put in the sandbox for possible consideration at a future data. One point: Kirk is now familiar with the plot.xts functionality as a result of fixing problems with it in fitTsfm, so perhaps in the future he may be able to fix plot issues in fitFfm. But that will need to be evaluated relative to other priorities.

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[JustinMShea]

Thank you for sharing your status with us @sangeeuw and I would do the same thing in your position. I do wish you the very best in succeeding with these important priorities!

We'll carry the torch for FactorAnalytics and publish it on CRAN where you shall remain an original author. Thanks again!

[martinrd3D]

I committed on #19 23 days ago. Must move this vignette to the sandbox (for possible use or partial use much later on).

Doug

On Sat, Aug 21, 2021 at 3:44 PM Justin M. Shea @.***> wrote:

Assigned #19 https://github.com/braverock/FactorAnalytics/issues/19 to @martinrd3D https://github.com/martinrd3D.

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-- R. Douglas Martin Professor Emeritus in Applied Mathematics and Statistics Founder and Former Director of MS-CFRM Program depts.washington.edu/compfin/ University of Washington