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
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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)
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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:

16 exports 1.30 score 10 dependencies 2 dependents 13 scripts 752 downloads

Last updated 15 days agofrom:7d380add2e. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 02 2024
R-4.5-winOKSep 02 2024
R-4.5-linuxOKSep 02 2024
R-4.4-winOKSep 02 2024
R-4.4-macOKSep 02 2024
R-4.3-winOKSep 02 2024
R-4.3-macOKSep 02 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 Sep 02 2024.

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