Description Usage Arguments Value Note Author(s)
Bootstrap the nonparametric VaR or ES estimator for all alpha
1 | bootstrap_VaR_ES(x, B, level, method = c("VaR", "ES"))
|
x |
vector of losses |
B |
number of bootstrap replications |
level |
confidence level |
method |
risk measure used |
(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
vectorized in x and level
Marius Hofert
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