vcovB: Bootstrap Covariance Estimation

Description Usage Arguments

View source: R/esreg.R

Description

Estimate the variance-covariance matrix of the joint (VaR, ES) estimator using the bootstrap.

Usage

1
vcovB(object, bootstrap_method = "iid", B = 1000)

Arguments

object

An esreg object

bootstrap_method

The bootstrap sampling scheme to be used

  • iid - The iid bootstrap of Efron (1979)

B

The number of bootstrap iterations


esreg documentation built on Nov. 16, 2019, 1:07 a.m.