action portfoliooptimizer_post_factors_residualization {
  label: "Residualization"
  description: "Compute the residuals of a factor against a set of factors, using a returns-based linear regression analysis.\n\nReferences\n* [Factor Research, Factor Exposure Analysis: Exploring Residualization](https://insights.factorresearch.com/research-factor-exposure-analysis-exploring-residualization/)\n* [Catalina B. Garcia, Román Salmeron, Claudia Garcia & Jose Garcia (2019): Residualization: justification, properties and application, Journal of Applied Statistics](https://doi.org/10.1080/02664763.2019.1701638)\n"
  provider: portfoliooptimizer
  method: POST
  path: "/factors/residualization"
  encoding: json
  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"
        }
      }
    }
  }
}