Residualization

v1.0.0

Compute the residuals of a factor against a set of factors, using a returns-based linear regression analysis.

References

Input

{
  "type": "object",
  "required": [
    "factors",
    "residualizedFactor"
  ],
  "properties": {
    "factors": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "factorReturns"
        ],
        "properties": {
          "factorReturns": {
            "type": "array",
            "description": "factorReturns[t] is the return of the factor at the time t; all the factorReturns arrays must have the same length",
            "items": {
              "type": "number"
            }
          }
        }
      }
    },
    "residualizedFactor": {
      "type": "integer",
      "description": "The index of the factor to residualize"
    }
  }
}

Output

{
  "type": "object",
  "required": [
    "residualizedFactorReturns"
  ],
  "properties": {
    "residualizedFactorReturns": {
      "type": "array",
      "description": "residualizedFactorReturns[t] is the return of the residualized factor at the time t",
      "items": {
        "type": "number"
      }
    }
  }
}