mosaicperm.factor.ols_residuals¶
- mosaicperm.factor.ols_residuals(outcomes: array, exposures: array)[source]¶
Computes residuals via cross-sectional OLS.
- Parameters:
- outcomesnp.array
(
n_obs,n_subjects) array of outcomes, e.g., asset returns.outcomesmay contain nans to indicate missing values.- exposuresnp.array
(
n_obs,n_subjects,n_factors) array of factor exposures OR (n_subjects,n_factors) array of factor exposures if the exposures do not change with time.
- Returns:
- residualsnp.array
(n_obs, n_subjects) array of residuals from OLS cross-sectional regressions.