RPESE.control: Controls Function for the Computation of Standard Errors for...

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

RPESE.controls sets the different control parameters used in the compuation of standard errors for risk and performance estimators.

Usage

RPESE.control(
  estimator = c("Mean", "SD", "VaR", "ES", "SR", "SoR", "ESratio", "VaRratio", "SoR",
    "LPM", "OmegaRatio", "SemiSD", "RachevRatio")[1],
  se.method = NULL,
  cleanOutliers = NULL,
  fitting.method = NULL,
  freq.include = NULL,
  freq.par = NULL,
  a = NULL,
  b = NULL
)

Arguments

estimator	Risk or performance estimator used to set default control parameters. Default is "Mean" estimator.
se.method	A character string indicating which method should be used to compute the standard error of the estimated standard deviation. One or a combination of: "IFiid" (default), "IFcor" (default), "IFcorPW", "IFcorAdapt", "BOOTiid" or "BOOTcor".
cleanOutliers	Boolean variable to indicate whether the pre-whitenning of the influence functions TS should be done through a robust filter.
fitting.method	Distribution used in the standard errors computation. Should be one of "Exponential" (default) or "Gamma".
freq.include	Frequency domain inclusion criteria. Must be one of "All" (default), "Decimate" or "Truncate."
freq.par	Percentage of the frequency used if "freq.include" is "Decimate" or "Truncate." Default is 0.5.
a	First adaptive method parameter.
b	Second adaptive method parameter.

Value

A list of different control parameters for the computation of standard errors.

Author(s)

Anthony-Alexander Christidis, [e-mail]

Examples

# Case where we want the default parameters for the ES
ES.control <- RPESE.control(estimator="ES")
# Case where we also set additional parameters manually
ES.control.2 <- RPESE.control(estimator="ES", se.method=c("IFcor", "BOOTiid"),
                              cleanOutliers=TRUE, freq.include="Decimate")
# These lists can be passed onto the functions (e.g., ES) to control the parameters
# for computing and returning standard errors.

PerformanceAnalytics documentation built on Feb. 6, 2020, 5:11 p.m.