parameter_definition: Parameter Definitions

Description Usage Arguments

View source: R/utility_functions.R

Description

Defines commonly used parameters.

Usage

1
parameter_definition(r, q, e, s, alpha)

Arguments

r

A vector of returns.

q

A vector of Value-at-Risk forecasts.

e

A vector of Expected Shortfall forecasts.

s

A vector of volatility forecasts.

alpha

Scalar probability level in (0, 1).

B

Number of bootstrap samples. Set to 0 to disable bootstrapping.


esback documentation built on July 2, 2020, 2:18 a.m.