Description Usage Arguments Details Value Note Author(s) References See Also Examples
Performs hypothesis tests on a single equation on k independent samples of Sharpe ratio.
1 2 3  sr_unpaired_test(srs, contrasts = NULL, null.value = 0,
alternative = c("two.sided", "less", "greater"), ope = NULL,
conf.level = 0.95)

srs 
a (nonempty) list of objects of class 
contrasts 
an array of the constrasts, the a_j values.
Defaults to 
null.value 
the constant null value, the b. Defaults to 0. 
alternative 
a character string specifying the alternative hypothesis,
must be one of 
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 
conf.level 
confidence level of the interval. 
... 
further arguments to be passed to or from methods. 
For 1 <= j <= k, suppose you have n_j observations of a normal random variable with mean mu_j and standard deviation sigma_j, with all observations independent. Given constants a_j and value b, this code tests the null hypothesis
H0: sum_j a_j mu_j/sigma_j = b
against two or one sided alternatives.
A list with class "htest"
containing the following components:
statistic 

parameter 
a list of upsilon parameters. 
p.value 
the pvalue for the test. 
conf.int 
a confidence interval appropriate to the specified alternative hypothesis. 
estimate 
the estimated equation value, just the weighted sum of the sample Sharpe ratios. Annualized 
null.value 
the specified hypothesized value of the sum of Sharpes. 
alternative 
a character string describing the alternative hypothesis. 
method 
a character string indicating what type of test was performed. 
data.name 
a character string giving the name(s) of the data. 
This code is based on the ‘upsilon’ code from
sadists
, which may be inaccurate for a large number of series.
Take caution when applying this test. File a bug report if you are
negatively impacted.
Steven E. Pav [email protected]
Sharpe, William F. "Mutual fund performance." Journal of business (1966): 119138. http://ideas.repec.org/a/ucp/jnlbus/v39y1965p119.html
Pav, Steven. "Inference on the Sharpe ratio via the upsilon distribution.' Arxiv (2015). http://arxiv.org/abs/1505.00829
sr_equality_test
, sr_test
, t.test
.
Other sr: as.sr
, confint.sr
,
dsr
, is.sr
,
plambdap
, power.sr_test
,
predint
, print.sr
,
reannualize
, se
,
sr_equality_test
, sr_test
,
sr_vcov
, sr
,
summary.sr
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21  # basic usage
set.seed(as.integer(charToRaw("set the seed")))
# default contrast is 1,1,1,1,1,1
etc < sr_unpaired_test(as.sr(matrix(rnorm(1000*6,mean=0.02,sd=0.1),ncol=6)))
print(etc)
etc < sr_unpaired_test(as.sr(matrix(rnorm(1000*4,mean=0.0005,sd=0.01),ncol=4)),
alternative='greater')
print(etc)
etc < sr_unpaired_test(as.sr(matrix(rnorm(1000*4,mean=0.0005,sd=0.01),ncol=4)),
contrasts=c(1,1,1,1),null.value=0.1,alternative='greater')
print(etc)
inp < list(as.sr(rnorm(500)),as.sr(runif(200)0.5),
as.sr(rnorm(30)),as.sr(rnorm(100)))
etc < sr_unpaired_test(inp)
inp < list(as.sr(rnorm(500)),as.sr(rnorm(100,mean=0.2,sd=1)))
etc < sr_unpaired_test(inp,contrasts=c(1,1),null.value=0.2)
etc$conf.int

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