facmodTS

1.0

Time Series Factor Models for Asset Returns

0packages depend

2.8Kdownloads / year

–test coverage

13/13checks pass

Overview

About

Maintained by Doug MartinFirst published 2023-11-091 releasesCRAN page ↗GitHub ↗

Supports teaching methods of estimating and testing time series factor models for use in robust portfolio construction and analysis. Unique in providing not only classical least squares, but also modern robust model fitting methods which are not much influenced by outliers. Includes returns and risk decompositions, with user choice of standard deviation, value-at-risk, and expected shortfall risk measures. "Robust Statistics Theory and Methods (with R)", R. A. Maronna, R. D. Martin, V. J. Yohai, M. Salibian-Barrera (2019) doi:10.1002/9781119214656.

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("facmodTS", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("robustport/facmodTS")

Development version from robustport/facmodTS. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-facmodts

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-facmodTS

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-facmodTS

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 2.1 min · r-devel-linux-x86_64-fedora-clang

Code health

None

Tests · ratio 0.00

not tracked

Coverage

100%

Documentation · exports

Dependencies · direct

Check history

OK2026-03-10
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMEYes · 6 wordsVignettesNopkgdown siteNoNEWSNoCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 99%
Return-value docs: 100%
References docs: 45%

Downloads

2.8K

CRAN downloads in the past year

Rank #15,616 · ~8/day · ~229/mo

Releases R versions

Daily download trend is not available in this view yet.

23330 days

72390 days

2.8K1 year

Compare downloads with other packages →

Also on95 r2u7 autocran

Repository

GitHub ↗ robustport/facmodts

4Stars

2Forks

0Open issues

0Open PRs

0Releases

65Commits

4Contributors

65 commits · Last activity 2025-03-08 · 0% stars, 30d

Stars over time

2025-03-08 · 22026-07-07 · 4

Repository practices

Upstream repositoryBeta

1 development-tooling and community-health practice detected across 1 family in the upstream repository

Checks run against github.com/robustport/facmodts on 2026-07-19.

Lint, format, editor (1)

RStudio project

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

21 external dependencies (excludes base and recommended)

Depends (1)

R >= 3.5

Imports (17)

bootdata.table larslatticeleaps PerformanceAnalytics PortfolioAnalytics R.cache corpcormethodsquadprog RobStatTM robustbase sandwich sn xts zoo

LinkingTo (0)

none

Suggests (7)

corrplot HH lmtest R.rsp rugarch strucchange tinytest

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

Code Composition

R 4,192 (67%)Rd 2,029 (33%)

Code characteristics

Object systems

S328

Cyclomatic complexity: 4.0 median / 41 max

Test coverage

Line coverage

–

Expression

–

Tests / Examples

–

Functions

44 10 exported

Complexity

6 avg / 41 max

Call network

44 nodes / 20 edges

Call graph

Open call graph →

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Lowest coverage

Per-function coverage is not measured for this package yet.

People & History

People (10)

Maintainer (1)

Doug Martin

Maintainer, Author

Authors (3)

Doug Martin

Maintainer, Author

Sangeetha Srinivasan

Author

Eric Zivot

Author

Contributors (7)

Contributor

Contributor

Contributor

Contributor

Contributor

Contributor

Contributor

Package Timeline

1 release. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
1.0Latest
2026-03-10 · current release
R
R 4.5.0 released · 2025-04-11

Package metadata

First published: 2023-11-09
Total releases: 1 / 3 yrs
License: GPL-2 OSI
Minimum R: ≥ 3.5
Download size: 60 KB
Installed size: not tracked yet
With dependencies: not tracked yet

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