RPEIF

Computation and Plots of Influence Functions for Risk and Performance Measures

Installation

About

Computes the influence functions time series of the returns for the risk and performance measures as mentioned in Chen and Martin (2018) , as well as in Zhang et al. (2019) . Also evaluates estimators influence functions at a set of parameter values and plots them to display the shapes of the influence functions.

Key Metrics

Version	1.2.4
Published	2021-10-14 936 days ago
Needs compilation?	no
License	GPL-2
License	GPL-3
CRAN checks	RPEIF results

Downloads

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Last 365 days	16.306 +0%

Maintainer

Anthony Christidis

anthony.christidis@stat.ubc.ca

Authors

Anthony Christidis
Shengyu Zhang
Douglas Martin

Material

README
NEWS
Reference manual
Package source

Vignettes

Vignette for Risk and Performance Estimators Influence Functions Package

macOS

r-release	arm64
r-oldrel	arm64
r-release	x86_64
r-oldrel	x86_64

Windows

r-devel	x86_64
r-release	x86_64
r-oldrel	x86_64

Old Sources

RPEIF archive

Imports

xts
zoo
stats
RobStatTM

Suggests

R.rsp
testthat
PerformanceAnalytics

Reverse Imports

RPEGLMEN
RPESE