Computes the influence functions time series of the returns for the risk and performance measures as mentioned in Zhang and Martin (2017) <https://ssrn.com/abstract=2747179> as well as Chen and Martin (2018) <https://ssrn.com/abstract=3085672>. Also evaluates estimators influence functions at a set of parameter values and plots them to display the shapes of the influence functions.
| Version: | 1.0.3 |
| Imports: | Rcpp (≥ 0.12.17), PerformanceAnalytics, xts, zoo, RobStatTM, stats |
| Suggests: | R.rsp, testthat |
| Published: | 2019-12-15 |
| 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 |
| Reference manual: | RPEIF.pdf |
| Vignettes: |
Vignette for Risk and Performance Estimators Influence Functions Package |
| Package source: | RPEIF_1.0.3.tar.gz |
| Windows binaries: | r-devel: RPEIF_1.0.3.zip, r-devel-gcc8: RPEIF_1.0.3.zip, r-release: RPEIF_1.0.3.zip, r-oldrel: RPEIF_1.0.3.zip |
| OS X binaries: | r-release: RPEIF_1.0.3.tgz, r-oldrel: RPEIF_1.0.3.tgz |
| Old sources: | RPEIF archive |
| Reverse imports: | RPEGLMEN, RPESE |
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