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) <>, as well as in Zhang et al. (2019) <>. Also evaluates estimators influence functions at a set of parameter values and plots them to display the shapes of the influence functions.


Reference manual

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1.2.4 by Anthony Christidis, 14 days ago

Browse source code at

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

Documentation:   PDF Manual  

GPL (>= 2) license

Imports xts, zoo, stats, RobStatTM

Suggests R.rsp, testthat, PerformanceAnalytics

Imported by RPEGLMEN, RPESE.

See at CRAN