NEWS

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RPESE 1.2.5 (2022-09-08)

• Fix error in point estimate computation for Value-at-Risk.

RPESE 1.2.4 (2021-09-22)

• Update Description file reference to technical article.

RPESE 1.2.3 (2021-06-09)

• Fix code errors in the vignette.

RPESE 1.2.2 (2021-05-13)

• Update RPEIF function name for mean estimator.
• Remove edhec data.

RPESE 1.2.1 (2021-05-07)

• Update the name for robust mean function.
• Change default SE methods for performance measures (Adapt -> PW)

RPESE 1.2.0 (2021-03-10)

• Add the robust m-estimator of location.
• Update vignette for new robust estimator and fix old typos.

RPESE 1.1.0 (2020-10-24)

• Adapt RPESE to changes to RPEIF 1.1.0

RPESE 1.0.6

• Typo for prewhitening (variable name).

RPESE 1.0.5 (2020-06-19)

• Another error for prewhitening. Now the residuals are passed on for the GLM fit.

RPESE 1.0.4 (2020-06-17)

• Fix error for prewhitening.

RPESE 1.0.3 (2020-03-16)

• Fix error for the StdDev.SE function.
• Fix error for the SortinoRatio.SE function.
• New option to return the correlations of the returns and the IF transformed returns.

RPESE 1.0.2 (2020-03-03)

• Add the option to return the coefficients from the Exponential/Gamma fit.

RPESE 1.0.1 (2019-12-17)

• Fix bug for SemiSD.
• Add functionality of package for frequency decimation and truncation.

RPESE 1.0.0

• Initial stable release of package.