UPM.VaR: UPM VaR

Description Usage Arguments Value Examples

View source: R/LPM_UPM_VaR.R

Description

Generates an upside VaR based on the Upper Partial Moment ratio

Usage

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UPM.VaR(percentile, degree, x)

Arguments

percentile

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

degree

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

x

a numeric vector.

Value

Returns a numeric value representing the point at which "percentile" of the area of x is below.

Examples

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set.seed(123)
x <- rnorm(100)

## For 95th percentile VaR (right-tail)
UPM.VaR(0.95, 0, x)

NNS documentation built on May 15, 2018, 5:04 p.m.