Package: RPEIF 1.2.4

RPEIF: 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.

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

RPEIF_1.2.4.tar.gz
RPEIF_1.2.4.zip(r-4.5)RPEIF_1.2.4.zip(r-4.4)RPEIF_1.2.4.zip(r-4.3)
RPEIF_1.2.4.tgz(r-4.4-any)RPEIF_1.2.4.tgz(r-4.3-any)
RPEIF_1.2.4.tar.gz(r-4.5-noble)RPEIF_1.2.4.tar.gz(r-4.4-noble)
RPEIF_1.2.4.tgz(r-4.4-emscripten)RPEIF_1.2.4.tgz(r-4.3-emscripten)
RPEIF.pdf |RPEIF.html✨
RPEIF/json (API)
NEWS

# Install 'RPEIF' in R:
install.packages('RPEIF', repos = c('https://anthonychristidis.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/anthonychristidis/rpeif/issues

On CRAN:

4.68 score 1 stars 2 packages 13 scripts 1.2k downloads 16 exports 10 dependencies

Last updated 3 months agofrom:7d380add2e. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 01 2024
R-4.5-winOKNov 01 2024
R-4.5-linuxOKNov 01 2024
R-4.4-winOKNov 01 2024
R-4.4-macOKNov 01 2024
R-4.3-winOKNov 01 2024
R-4.3-macOKNov 01 2024

Exports:IFIF.DSRIF.ESIF.ESratioIF.LPMIF.MeanIF.OmegaRatioIF.RachevRatioIF.robMeanIF.SDIF.SemiSDIF.SoRIF.SRIF.VaRIF.VaRrationuisParsFn

Dependencies:DEoptimRlatticemvtnormpcaPPpyinitRobStatTMrobustbaserrcovxtszoo

Vignette for Risk and Performance Estimators Influence Functions Package

Rendered fromRPEIFVignette.pdf.asisusingR.rsp::asison Nov 01 2024.

Last update: 2019-10-28
Started: 2019-06-30