Description Usage Arguments Details Value Author(s) See Also Examples

Compute power of test, or determine parameters to obtain target power.

1 2 |

`df1` |
the number of assets in the portfolio. |

`df2` |
the number of observations. |

`zeta.s` |
the 'signal-to-noise' parameter, defined as ... |

`sig.level` |
Significance level (Type I error probability). |

`power` |
Power of test (1 minus Type II error probability). |

`ope` |
the number of observations per 'epoch'. For convenience of
interpretation, The Sharpe ratio is typically quoted in 'annualized'
units for some epoch, that is, 'per square root epoch', though returns
are observed at a frequency of |

Suppose you perform a single-sample test for significance of the
optimal Sharpe ratio based on the corresponding single-sample T^2-test.
Given any four of: the effect size (the population optimal SNR,
*zeta**), the number of assets, the number of observations,
and the type I and type II rates, this function computes the fifth.

Exactly one of the parameters `df1`

, `df2`

,
`zeta.s`

, `power`

, and
`sig.level`

must be passed as NULL, and that parameter is determined
from the others. Notice that `sig.level`

has non-NULL default, so NULL
must be explicitly passed if you want to compute it.

Object of class `power.htest`

, a list of the arguments
(including the computed one) augmented with `method`

, `note`

and `n.epoch`

elements, the latter is the number of epochs
under the given annualization (`ope`

), `NA`

if none given.

Steven E. Pav [email protected]

Other sropt: `as.sropt`

,
`confint.sr`

, `dsropt`

,
`is.sropt`

, `pco_sropt`

,
`reannualize`

, `sropt_test`

,
`sropt`

1 | ```
anex <- power.sropt_test(8,4*253,1,0.05,NULL,ope=253)
``` |

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