build based on 98767c6

dev/.documenter-siteinfo.json

@@ -1 +1 @@
-{"documenter":{"julia_version":"1.9.4","generation_timestamp":"2024-12-19T10:32:53","documenter_version":"1.8.0"}}
+{"documenter":{"julia_version":"1.9.4","generation_timestamp":"2024-12-19T11:18:22","documenter_version":"1.8.0"}}

dev/api/utils/index.html

@@ -11,7 +11,7 @@
 
 # Use in GMM estimation
 results_ols = SDF_gmm(R, f, W_ols)
-results_gls = SDF_gmm(R, f, W_gls)</code></pre><p><strong>See Also</strong></p><ul><li><code>SDF_gmm</code>: Main function using these weighting matrices</li></ul></div><a class="docs-sourcelink" target="_blank" href="https://github.com/eohne/BayesianFactorZoo.jl/blob/f46a173823d2f442bd58793f137574aefc4c9776/src/sdf_gmm.jl#L126-L199">source</a></section></article><article class="docstring"><header><a class="docstring-article-toggle-button fa-solid fa-chevron-down" href="javascript:;" title="Collapse docstring"></a><a class="docstring-binding" id="BayesianFactorZoo.psi_to_priorSR" href="#BayesianFactorZoo.psi_to_priorSR"><code>BayesianFactorZoo.psi_to_priorSR</code></a> — <span class="docstring-category">Function</span><span class="is-flex-grow-1 docstring-article-toggle-button" title="Collapse docstring"></span></header><section><div><pre><code class="language-julia hljs">psi_to_priorSR(R::Matrix{Float64}, f::Matrix{Float64}; 
+results_gls = SDF_gmm(R, f, W_gls)</code></pre><p><strong>See Also</strong></p><ul><li><code>SDF_gmm</code>: Main function using these weighting matrices</li></ul></div><a class="docs-sourcelink" target="_blank" href="https://github.com/eohne/BayesianFactorZoo.jl/blob/98767c6d58bb2e7e02c738025f2c3e6b051a6ab5/src/sdf_gmm.jl#L126-L199">source</a></section></article><article class="docstring"><header><a class="docstring-article-toggle-button fa-solid fa-chevron-down" href="javascript:;" title="Collapse docstring"></a><a class="docstring-binding" id="BayesianFactorZoo.psi_to_priorSR" href="#BayesianFactorZoo.psi_to_priorSR"><code>BayesianFactorZoo.psi_to_priorSR</code></a> — <span class="docstring-category">Function</span><span class="is-flex-grow-1 docstring-article-toggle-button" title="Collapse docstring"></span></header><section><div><pre><code class="language-julia hljs">psi_to_priorSR(R::Matrix{Float64}, f::Matrix{Float64}; 
               psi0::Union{Nothing,Float64}=nothing,
               priorSR::Union{Nothing,Float64}=nothing,
               aw::Float64=1.0, bw::Float64=1.0)</code></pre><p>Map between prior tightness parameter <span>$\psi$</span> and prior Sharpe ratio.</p><p><strong>Arguments</strong></p><ul><li><code>R</code>: Matrix of test assets with dimension <span>$t \times N$</span></li><li><code>f</code>: Matrix of factors with dimension <span>$t \times k$</span></li><li><code>psi0</code>: Prior tightness parameter to convert to SR</li><li><code>priorSR</code>: Target SR to convert to psi0</li><li><code>aw,bw</code>: Beta prior parameters</li></ul><p><strong>Returns</strong></p><p>Returns a Float64 value either:</p><ul><li>The implied prior Sharpe ratio if psi0 provided</li><li>The required psi0 value if priorSR provided</li></ul><p>Note: Returns error message string if neither or both arguments are provided</p><p><strong>Notes</strong></p><ul><li>Exactly one of psi0 or priorSR must be provided</li><li>Input matrices R and f must have the same number of rows (time periods)</li><li>The mapping helps choose priors based on economic intuition about achievable Sharpe ratios</li><li>Default aw=bw=1 implies 50% prior probability of factor inclusion</li><li>The relationship is monotonic: higher ψ implies higher prior Sharpe ratio</li><li>Useful for calibrating priors in continuous<em>ss</em>sdf and continuous<em>ss</em>sdf_v2</li></ul><p><strong>References</strong></p><p>Bryzgalova S, Huang J, Julliard C (2023). &quot;Bayesian solutions for the factor zoo: We just ran two quadrillion models.&quot; Journal of Finance, 78(1), 487–557.</p><p><strong>Examples</strong></p><pre><code class="language-julia hljs"># Load test data
@@ -36,4 +36,4 @@
 sr = calculate_prior_SR(5.0, R, f)
 
 # Get psi for a target SR
-psi = find_psi_for_target_SR(0.5, R, f)</code></pre><p><strong>See Also</strong></p><ul><li><code>continuous_ss_sdf</code>: Main function using this prior calibration</li><li><code>continuous_ss_sdf_v2</code>: Version for tradable factors using this calibration</li></ul></div><a class="docs-sourcelink" target="_blank" href="https://github.com/eohne/BayesianFactorZoo.jl/blob/f46a173823d2f442bd58793f137574aefc4c9776/src/utils.jl#L66-L130">source</a></section></article></article><nav class="docs-footer"><a class="docs-footer-prevpage" href="../core/">« Core Functions</a><div class="flexbox-break"></div><p class="footer-message">Powered by <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> and the <a href="https://julialang.org/">Julia Programming Language</a>.</p></nav></div><div class="modal" id="documenter-settings"><div class="modal-background"></div><div class="modal-card"><header class="modal-card-head"><p class="modal-card-title">Settings</p><button class="delete"></button></header><section class="modal-card-body"><p><label class="label">Theme</label><div class="select"><select id="documenter-themepicker"><option value="auto">Automatic (OS)</option><option value="documenter-light">documenter-light</option><option value="documenter-dark">documenter-dark</option><option value="catppuccin-latte">catppuccin-latte</option><option value="catppuccin-frappe">catppuccin-frappe</option><option value="catppuccin-macchiato">catppuccin-macchiato</option><option value="catppuccin-mocha">catppuccin-mocha</option></select></div></p><hr/><p>This document was generated with <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> version 1.8.0 on <span class="colophon-date" title="Thursday 19 December 2024 10:32">Thursday 19 December 2024</span>. Using Julia version 1.9.4.</p></section><footer class="modal-card-foot"></footer></div></div></div></body></html>
+psi = find_psi_for_target_SR(0.5, R, f)</code></pre><p><strong>See Also</strong></p><ul><li><code>continuous_ss_sdf</code>: Main function using this prior calibration</li><li><code>continuous_ss_sdf_v2</code>: Version for tradable factors using this calibration</li></ul></div><a class="docs-sourcelink" target="_blank" href="https://github.com/eohne/BayesianFactorZoo.jl/blob/98767c6d58bb2e7e02c738025f2c3e6b051a6ab5/src/utils.jl#L66-L130">source</a></section></article></article><nav class="docs-footer"><a class="docs-footer-prevpage" href="../core/">« Core Functions</a><div class="flexbox-break"></div><p class="footer-message">Powered by <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> and the <a href="https://julialang.org/">Julia Programming Language</a>.</p></nav></div><div class="modal" id="documenter-settings"><div class="modal-background"></div><div class="modal-card"><header class="modal-card-head"><p class="modal-card-title">Settings</p><button class="delete"></button></header><section class="modal-card-body"><p><label class="label">Theme</label><div class="select"><select id="documenter-themepicker"><option value="auto">Automatic (OS)</option><option value="documenter-light">documenter-light</option><option value="documenter-dark">documenter-dark</option><option value="catppuccin-latte">catppuccin-latte</option><option value="catppuccin-frappe">catppuccin-frappe</option><option value="catppuccin-macchiato">catppuccin-macchiato</option><option value="catppuccin-mocha">catppuccin-mocha</option></select></div></p><hr/><p>This document was generated with <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> version 1.8.0 on <span class="colophon-date" title="Thursday 19 December 2024 11:18">Thursday 19 December 2024</span>. Using Julia version 1.9.4.</p></section><footer class="modal-card-foot"></footer></div></div></div></body></html>

dev/index.html

@@ -22,4 +22,4 @@
   number={1},
   pages={487--557},
   year={2023}
-}</code></pre></article><nav class="docs-footer"><a class="docs-footer-nextpage" href="tutorial/">Tutorial »</a><div class="flexbox-break"></div><p class="footer-message">Powered by <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> and the <a href="https://julialang.org/">Julia Programming Language</a>.</p></nav></div><div class="modal" id="documenter-settings"><div class="modal-background"></div><div class="modal-card"><header class="modal-card-head"><p class="modal-card-title">Settings</p><button class="delete"></button></header><section class="modal-card-body"><p><label class="label">Theme</label><div class="select"><select id="documenter-themepicker"><option value="auto">Automatic (OS)</option><option value="documenter-light">documenter-light</option><option value="documenter-dark">documenter-dark</option><option value="catppuccin-latte">catppuccin-latte</option><option value="catppuccin-frappe">catppuccin-frappe</option><option value="catppuccin-macchiato">catppuccin-macchiato</option><option value="catppuccin-mocha">catppuccin-mocha</option></select></div></p><hr/><p>This document was generated with <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> version 1.8.0 on <span class="colophon-date" title="Thursday 19 December 2024 10:32">Thursday 19 December 2024</span>. Using Julia version 1.9.4.</p></section><footer class="modal-card-foot"></footer></div></div></div></body></html>
+}</code></pre></article><nav class="docs-footer"><a class="docs-footer-nextpage" href="tutorial/">Tutorial »</a><div class="flexbox-break"></div><p class="footer-message">Powered by <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> and the <a href="https://julialang.org/">Julia Programming Language</a>.</p></nav></div><div class="modal" id="documenter-settings"><div class="modal-background"></div><div class="modal-card"><header class="modal-card-head"><p class="modal-card-title">Settings</p><button class="delete"></button></header><section class="modal-card-body"><p><label class="label">Theme</label><div class="select"><select id="documenter-themepicker"><option value="auto">Automatic (OS)</option><option value="documenter-light">documenter-light</option><option value="documenter-dark">documenter-dark</option><option value="catppuccin-latte">catppuccin-latte</option><option value="catppuccin-frappe">catppuccin-frappe</option><option value="catppuccin-macchiato">catppuccin-macchiato</option><option value="catppuccin-mocha">catppuccin-mocha</option></select></div></p><hr/><p>This document was generated with <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> version 1.8.0 on <span class="colophon-date" title="Thursday 19 December 2024 11:18">Thursday 19 December 2024</span>. Using Julia version 1.9.4.</p></section><footer class="modal-card-foot"></footer></div></div></div></body></html>