UPM.VaR: UPM VaR

Description Usage Arguments Examples

Description

Generates an upside VaR based on the Upper Partial Moment ratio

Usage

1
UPM.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.

Examples

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


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