blockSizeCalibrate: calculate the optimal block size

In bootTimeInference: Robust Performance Hypothesis Testing with the Sharpe Ratio

Description

by Algorithm 3.1 in vignette on page 5

Usage

blockSizeCalibrate(ret, b_vec = as.integer(c(1, 3, 6, 10)), alpha = 0.05,
  M = 199L, K = 1000L, b_av = 5L, T_start = 50L)

Arguments

ret	refers to a returns matrix (columns = 2)
b_vec	see vignette
alpha	see vignette
M	see vignette
K	see vignette
b_av	see vignette
T_start	see vignette

Value

a list with probabilities and optimal block size

bootTimeInference documentation built on April 14, 2017, 5:33 p.m.