RPEIF: Computation and Plots of Influence Functions for Risk and Performance Measures (original) (raw)
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.
| Version: | 1.2.4 |
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| Imports: | xts, zoo, stats, RobStatTM |
| Suggests: | R.rsp, testthat, PerformanceAnalytics |
| Published: | 2021-10-14 |
| DOI: | 10.32614/CRAN.package.RPEIF |
| Author: | Anthony Christidis, Shengyu Zhang, Douglas Martin |
| Maintainer: | Anthony Christidis <anthony.christidis at stat.ubc.ca> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| CRAN checks: | RPEIF results |
Documentation:
| Reference manual: | RPEIF.html , <RPEIF.pdf> |
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| Vignettes: | Vignette for Risk and Performance Estimators Influence Functions Package (source) |
Downloads:
| Package source: | RPEIF_1.2.4.tar.gz |
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| Windows binaries: | r-devel: RPEIF_1.2.4.zip, r-release: RPEIF_1.2.4.zip, r-oldrel: RPEIF_1.2.4.zip |
| macOS binaries: | r-release (arm64): RPEIF_1.2.4.tgz, r-oldrel (arm64): RPEIF_1.2.4.tgz, r-release (x86_64): RPEIF_1.2.4.tgz, r-oldrel (x86_64): RPEIF_1.2.4.tgz |
| Old sources: | RPEIF archive |
Reverse dependencies:
| Reverse imports: | RPEGLMEN, RPESE |
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Linking:
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