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 Zhang and Martin (2017) < https://ssrn.com/abstract=2747179> as well as Chen and Martin (2018) < https://ssrn.com/abstract=3085672>. Also evaluates estimators influence functions at a set of parameter values and plots them to display the shapes of the influence functions.


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install.packages("RPEIF")

1.0 by Anthony Christidis, 14 days 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 Rcpp, ggplot2, PerformanceAnalytics, xts, zoo, RobStatTM, stats

Suggests R.rsp, testthat

Linking to Rcpp, RcppArmadillo


See at CRAN