LPM VaR

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Description

Generates a VaR based on the Lower Partial Moment ratio

Usage

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LPM.VaR(percentile, degree, x)

Arguments

percentile

The percentile for VaR

degree

Degree = 0 for discrete distributions, degree = 1 for continuous distributions

x

Variable

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

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