NEWS: News for package 'SharpeR':

In SharpeR: Statistical Significance of the Sharpe Ratio

News for package 'SharpeR':

Description

News for package 'SharpeR'

Changes in SharpeR Version 1.4.0 (2024-12-17)

• Add inference on group SNR via Bonferroni and MHT tests.

• Add confidence intervals on achieved SNR.

• Fix some time inference code.

• Add dependency on epsiwal and zoo packages.

Changes in SharpeR Version 1.3.0 (2021-08-15)

• Remove tests based on upsilon distribution. Also removes dependency on sadists package.

Changes in SharpeR Version 1.2.1 (2020-02-06)

• CRAN fix for warnings about ellipsis.

Changes in SharpeR Version 1.2.0 (2018-10-07)

• move github figures to location CRAN understands

• be smarter about S3 classes: do not redefine summary and print.

• add bias and variance from Bao (2009).

• support estimation of higher order moments in as.sr, and expands methods for se and confidence interval computations.

• incorporate higher order methods into one sample sr tests.

Changes in SharpeR Version 1.1.0 (2016-03-14)

• fix sr_vcov on array input.

• add SRIC method.

• add SRIC to print.sropt.

• change predint output to matrix.

Changes in SharpeR Version 1.0.0 (2015-06-18)

• sane version numbers.

• unpaired k sample test of Sharpe.

• rely on same for unpaired 2 sample test.

• prediction intervals for Sharpe based on upsilon.

• more tests.

Changes in SharpeR Version 0.1501 (2014-12-06)

• fix inference of mark frequency from e.g. xts objects.

• add rlambdap.

Changes in SharpeR Version 0.1401 (2014-01-05)

• fix second moment asymptotic covariance.

• add confidence distribution functions for sr, sr.opt.

Changes in SharpeR Version 0.1310 (2013-10-30)

• inverse second moment asymptotic covariance.

Changes in SharpeR Version 0.1309 (2013-09-20)

• spanning/hedging tests.

• sr equality test via callback variance covariance computation.

• split vignette in two.

Changes in SharpeR Version 0.1307 (2013-05-30)

• proper d.f. in sr objects with different nan fill.

• restore vignette.

SharpeR Initial Version 0.1306 (2013-05-21)

• put on CRAN

SharpeR documentation built on April 3, 2025, 7:36 p.m.