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 Zhang and Martin (2017) <https://ssrn.com/abstract=2747179> as well as Chen and Martin (2018) <https://ssrn.com/abstract=3085672>. 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 <[email protected]>, Shengyu Zhang <[email protected]>, Douglas Martin <[email protected]>
MaintainerAnthony Christidis <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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RPEIF documentation built on Oct. 30, 2019, 11:39 a.m.