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RPEIF: Computation and Plots of Influence Functions for Risk and Performance Measures
Computes the influence functions time series of the returns for the risk and performance measures as mentioned in Chen and Martin (2018) <https://www.ssrn.com/abstract=3085672>, as well as in Zhang et al. (2019) <https://www.ssrn.com/abstract=3415903>. Also evaluates estimators influence functions at a set of parameter values and plots them to display the shapes of the influence functions.
Getting started
Browse package contents
Package details |
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| Author | Anthony Christidis <anthony.christidis@stat.ubc.ca>, Shengyu Zhang <syzhang@uw.edu>, Douglas Martin <doug@amath.washington.edu> |
| Maintainer | Anthony Christidis <anthony.christidis@stat.ubc.ca> |
| License | GPL (>= 2) |
| Version | 1.2.4 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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