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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 |
| 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 |
| Reference manual: | RPEIF.pdf |
| Vignettes: |
Vignette for Risk and Performance Estimators Influence Functions Package |
| Package source: | RPEIF_1.2.4.tar.gz |
| 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 imports: | RPEGLMEN, RPESE |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.