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

Package details

AuthorAnthony Christidis <anthony.christidis@stat.ubc.ca>, Shengyu Zhang <syzhang@uw.edu>, Douglas Martin <doug@amath.washington.edu>
MaintainerAnthony Christidis <anthony.christidis@stat.ubc.ca>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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RPEIF documentation built on Oct. 14, 2021, 5:22 p.m.