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.

RPEIF

This package provides functions for computing the influence functions of risk and performance measures.

Installation

You can install the stable version on R CRAN.

install.packages("RPEIF", dependencies = TRUE)

You can install the development version from GitHub.

library(devtools) 
devtools::install_github("AnthonyChristidis/RPEIF")

Usage

# Sample Code
library(RPEIF)
# Loading the data
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
                    "GM", "LS", "MA", "RV", "SS", "FoF")
# Computing the IF of the returns (with outlier cleaning and prewhitening)
outIF <- IF(risk = "Mean",
            returns = edhec[,"CA"], evalShape = FALSE, retVals = NULL, nuisPars = NULL,
            IFplot = TRUE, IFprint = TRUE,
            prewhiten = TRUE,
            cleanOutliers = TRUE, cleanMethod = "locScaleRob", eff = 0.99)

License

This package is free and open source software, licensed under GPL (>= 2).