Bug in lpm()

[chenx26]

Running the following code should reproduce an error

library(PerformanceAnalytics) data(edhec) lpm(edhec)

Error in [.xts(R, R < threshold, ) : 'i' or 'j' out of range

[braverock]

not actually a bug:

lpm(edhec[,1]) [1] 0.0004371911

this function only takes a single-column xts object.

We would certainly entertain a patch to handle multiple columns in the manner than many (most) other PerformanceAnalytics function do.

[kylebalkissoon]

For your case: apply(edhec,2,lpm) will work.

I was not able to implement lpm in a multivariate framework due to the conditional nature of the calculation, the lengths of data for each column will not be the same. Patches would be most welcome