Computation and Plots of Influence Functions for Risk and Performance Measures

Computes the influence functions time series of the returns for the risk and performance measures as mentioned in Chen and Martin (2018) < https://www.ssrn.com/abstract=3085672>, as well as in Zhang et al. (2019) < https://www.ssrn.com/abstract=3415903>. Also evaluates estimators influence functions at a set of parameter values and plots them to display the shapes of the influence functions.


News

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("RPEIF")

1.2.3 by Anthony Christidis, 2 months ago


Browse source code at https://github.com/cran/RPEIF


Authors: Anthony Christidis <[email protected]> , Shengyu Zhang <[email protected]> , Douglas Martin <[email protected]>


Documentation:   PDF Manual  


GPL (>= 2) license


Imports xts, zoo, stats

Suggests R.rsp, testthat, RobStatTM, PerformanceAnalytics


Imported by RPEGLMEN, RPESE.


See at CRAN