R/jKernelHistVaR.R

Defines functions jKernelHistVaR

jKernelHistVaR <-
function(s, alpha){
hh <- jOptWidthKernel(s)
h <- 0.01
x <- min(s)
cdf <- jSimsonKernel(1000,-10,x,s,hh,jKernelFitPdf)
while (cdf < alpha){
x <- x+h
cdf <- jSimsonKernel(1000,-10,x,s,hh,jKernelFitPdf)
}

return(-x)
}

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jvnVaR documentation built on May 29, 2017, 11:25 a.m.