R/jNormalVaR.R

jNormalVaR <-
function(s,alpha){
# Empirical estimation of normal distribution
mu <- mean(s)
vo <- sd(s)
object <- mu + vo * jNormInv(alpha)
return(-object)
}

Try the jvnVaR package in your browser

Any scripts or data that you put into this service are public.

jvnVaR documentation built on May 1, 2019, 8:29 p.m.