LPM.VaR: LPM VaR

Description Usage Arguments Author(s) References Examples

Description

Generates a VaR based on the Lower Partial Moment ratio

Usage

1
LPM.VaR(percentile, degree, x)

Arguments

percentile

numeric [0,1]; The percentile for VaR.

degree

integer; (degree=0) for discrete distributions, (degree=1) for continuous distributions.

x

a numeric vector.

Author(s)

Fred Viole, OVVO Financial Systems

References

Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" http://amzn.com/1490523995

Examples

1
2
3
set.seed(123)
x<-rnorm(100)
LPM.VaR(0.95,0,x)


Search within the NNS package
Search all R packages, documentation and source code

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.