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-4.5-any)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'))

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

On CRAN:

Conda:

4.97 score 1 stars 2 packages 14 scripts 1.1k downloads 16 exports 10 dependencies

Last updated 3 months agofrom:d69aedb249. Checks:9 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 22 2025
R-4.5-winOKMar 22 2025
R-4.5-macOKMar 22 2025
R-4.5-linuxOKMar 22 2025
R-4.4-winOKMar 22 2025
R-4.4-macOKMar 22 2025
R-4.4-linuxOKMar 22 2025
R-4.3-winOKMar 22 2025
R-4.3-macOKMar 22 2025

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 Mar 22 2025.

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