1 Influence Functions Theoretical Background | 2 RPEIF Package Estimators and their Influence Functions | 3 Using the RPEIF Package to Evaluate Influence Functions and Compute Influence-Function Transformed Returns | 4 Outlier Cleaning | 5 Robust Esimator of Mean Influence Function | 6 Prewhitening
Package: RPEIF 1.2.5
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:
RPEIF_1.2.5.tar.gz
RPEIF_1.2.5.zip(r-4.7)RPEIF_1.2.5.zip(r-4.6)RPEIF_1.2.5.zip(r-4.5)
RPEIF_1.2.5.tgz(r-4.6-any)RPEIF_1.2.5.tgz(r-4.5-any)
RPEIF_1.2.5.tar.gz(r-4.7-any)RPEIF_1.2.5.tar.gz(r-4.6-any)
RPEIF_1.2.5.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
RPEIF/json (API)
| # 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
Last updated from:0419dd1c7c. Checks:8 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 110 | ||
| source / vignettes | OK | 159 | ||
| linux-release-x86_64 | OK | 112 | ||
| macos-release-arm64 | OK | 119 | ||
| macos-oldrel-arm64 | OK | 83 | ||
| windows-devel | OK | 85 | ||
| windows-oldrel | OK | 103 | ||
| wasm-release | OK | 93 |
Exports:IFIF.DSRIF.ESIF.ESratioIF.LPMIF.MeanIF.OmegaRatioIF.RachevRatioIF.robMeanIF.SDIF.SemiSDIF.SoRIF.SRIF.VaRIF.VaRrationuisParsFn
Dependencies:DEoptimRlatticemvtnormpcaPPpyinitRobStatTMrobustbaserrcovxtszoo
