computeR0bar: Computes the average difference between the number of upper...
In sharpeRratio: Moment-Free Estimation of Sharpe Ratios
computeR0bar R Documentation
Computes the average difference between the number of upper and lower records of the cumulative sum of the sample values.
Description
Computes the average difference between the number of upper and lower records of the cumulative sum of the sample values.
Usage
computeR0bar(x, numPerm = 100L, q1 = 0.025, q2 = 0.975)
Arguments
x
a vector of sample values
numPerm
the number of random permutations (or shuffles) of the sample value order
q1
a real number for computing the lower confidence interval
q2
a real number for computing the upper confidence interval
Value
a list
mean the average difference of upper and lower records of the cumulative sum of x
q1 the q1 quantile of the difference
q1 the q2 quantile of the difference
sharpeRratio documentation built on July 5, 2022, 5:14 p.m.
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| computeR0bar | R Documentation |
Computes the average difference between the number of upper and lower records of the cumulative sum of the sample values.
Description
Computes the average difference between the number of upper and lower records of the cumulative sum of the sample values.
Usage
computeR0bar(x, numPerm = 100L, q1 = 0.025, q2 = 0.975)
Arguments
x |
a vector of sample values |
numPerm |
the number of random permutations (or shuffles) of the sample value order |
q1 |
a real number for computing the lower confidence interval |
q2 |
a real number for computing the upper confidence interval |
Value
a list
mean the average difference of upper and lower records of the cumulative sum of
xq1 the q1 quantile of the difference
q1 the q2 quantile of the difference
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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