R Observatory: Metrics for facmodTS version 1.0

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

facmodTS

1.0Package record

Time Series Factor Models for Asset Returns

0packages depend

2.8Kdownloads / year

–test coverage

13/13flavors OK

Overview

About

Maintained by Doug MartinCRAN 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. We list this channel from recorded r2u download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

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). We list this channel from recorded autoCRAN download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

Health

CRAN checks

13OK

CRAN check page ↗

Slowest check: 2.0 min · r-oldrel-windows-x86_64

Status changes

OK13 OK2026-08-05
NOTE12 OK, 1 NOTE2026-08-01
OK14 OK2026-03-10

Advisories

none known

How this is measured·How advisories are found

Documentation

In release 1.0

READMEYes · 6 wordsVignettesNoNEWSNoCitation fileNoWebsitenot declared in DESCRIPTION

Help pages: 22 (1 internal)includes a package overview page
Examples that run: 100%17 run in a plain check
Exported functions with examples: 100%
Documented parameters: 99%
Return-value docs: 100%
Help pages citing references: 45%

How these are measured

Downloads

2.8K

CRAN downloads in the past year

Rank #17,150 · ~8/day · ~236/mo

Releases R versions

Daily download trend is not available in this view yet.

26330 days

73690 days

2.8K1 year

Compare downloads with other packages →

Also on68 r2u4 autocran

How downloads are counted

Repository

robustport/facmodts ↗Account: robustport

5Stars

2Forks

0Open issues

0Open PRs

0Releases

65Commits

4Commit identities

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

Responsiveness

How these are sampled

PRs merged (all time): 100%
Median days to close, 50 most recently updated closed issues: not measured
Median days to close, 50 most recently updated closed PRs: 0

Stars over time

2025-09-12 · 32026-08-10 · 5

How these are measured

PracticesBeta

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

Checks run against github.com/robustport/facmodts on 2026-10-18.

Lint, format, editor (1)

RStudio project

How this is detected·Detection ruleset v3 (2026-09-26)

Dependencies

Declared dependencies

21 external dependencies (excludes base and recommended)

Installing facmodTS adds 40 packages (24 with compiled code, 25 MB of source tarballs). Heaviest: data.table 5.7 MB, PerformanceAnalytics 5.0 MB, robustbase 2.2 MB.

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.

How these are counted

Code & Tests

People & History

People (10)

Doug Martin

Maintainer since 1.0 (2023), Author

Author

Author

Contributor

Contributor

Contributor

Contributor

Contributor

Contributor

Contributor

Releases (1)

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
1.0Latest
record
2023-11-09 · current release
R
R 4.3.0 released · 2023-04-21

Package metadata

First published: 2023-11-09
Total releases: 1 / 3 yrs
License: GPL-2 OSI
Minimum R: ≥ 3.5
Download size: 60 KB

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("facmodTS")

Format

Martin, D., Acharya, A., Chen, Y., Li, K., Shammaa, M., Shea, J., Spinney, J., Srinivasan, S., Yi, L., & Zivot, E. (2023). facmodTS: Time Series Factor Models for Asset Returns (Version 1.0) [Computer software]. https://doi.org/10.32614/CRAN.package.facmodTS

This package has no citation file, so citation() returns this entry built from DESCRIPTION.

Cite the R Observatory

For a number measured here: a download total, a coverage figure, an archival date.

Format

APA

Balamuta, J. J. (2026). R Observatory: Metrics for facmodTS version 1.0 [Data set]. HJJB, LLC. Data release v2026-10-20. https://doi.org/10.5281/zenodo.21843040

From data release v2026-10-20, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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