NEWS.md

In esback: Expected Shortfall Backtesting

0.3.1 [2023-09-02]

• Fix documentation issue

0.3.0 [2020-05-22]

• Update references.
• Bump for CRAN submission.

0.2.2 [2020-05-01]

• Fix typo in parameter documentation.
• Don't require parameter "q" in esr_backtest when backtest version is 1 or 3.

0.2.1

• Adjust estimation of the intercept ESR backtest

0.2.0

• Merge esr_backtest and esr_backtest_intercept in one function and add an additional esr backtest version
• Account for misspecification in the covariance estimation
• Add additional ES backtests
• Clean-up and refactoring

0.1.1

• Add the loss function

0.1.0

• Initial commit

esback documentation built on Sept. 4, 2023, 1:06 a.m.