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.
| Version: |
1.2.0 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
xts, zoo, stats |
| Suggests: |
R.rsp, testthat, RobStatTM |
| Published: |
2021-03-09 |
| Author: |
Anthony Christidis,
Shengyu Zhang,
Douglas Martin |
| Maintainer: |
Anthony Christidis <anthony.christidis at stat.ubc.ca> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
no |
| Materials: |
README NEWS |
| CRAN checks: |
RPEIF results |
Downloads:
Reverse dependencies:
Linking:
Please use the canonical form
https://CRAN.R-project.org/package=RPEIF
to link to this page.