bootstrap: Bootstrap the nonparametric VaR or ES estimator for all alpha

In 3schwartz/SpecialeScrAndFun: Script and functions used for master thesis.

Description

Bootstrap the nonparametric VaR or ES estimator for all alpha

Usage

bootstrap(x, B, level, method = c("VaR", "ES"))

Arguments

x	vector of losses
B	number of bootstrap replications
level	confidence level
method	risk measure used

Value

(length(alpha), B)-matrix where the bth column contains the estimated risk measure at each alpha based on the bth bootstrap sample of the losses

Note

vectorized in x and level

Author(s)

Marius Hofert

3schwartz/SpecialeScrAndFun documentation built on May 4, 2019, 6:29 a.m.