bootTimeInference: calculate bootstrap inference

In bootTimeInference: Robust Performance Hypothesis Testing with the Sharpe Ratio

Description

calculate bootstrap inference

Usage

bootTimeInference(ret, b, M, Delta_null = 0)

Arguments

ret	refers to a returns matrix (columns = 2)
b	blocksize to use. Choose the optimal blocksize by blockSizeCalibrate
M	number of bootstrap resamples (see Eq. 9 in vignette)
Delta_null	refers to null hypothesis, where Delta means the difference in sharpe ratio

Value

a list with estimated difference in sharpe ratio and p-value of the test with Delat_null as null hypothesis

Examples

## Not run: 
DATA <- bootTimeInference:::ret.hedge
opt <- blockSizeCalibrate(DATA, b_vec = c(1,2,4,6,8,10), K = 5000)
bootTimeInference(DATA, b = opt$b.optimal, M = 4999)

## End(Not run)
DATA <- bootTimeInference:::ret.hedge
# small example, please choose an appropiate K (see vignette)
opt <- blockSizeCalibrate(DATA, b_vec = c(1,2,4,6), K = 10)
bootTimeInference(DATA, b = opt$b.optimal, M = 4999)

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