knitr::opts_chunk$set( collapse = TRUE, comment = "#>", fig.path = "README-" )
This package provides functions for computing the influence functions of risk and performance measures.
You can install the stable version on R CRAN.
install.packages("RPEIF", dependencies = TRUE)
You can install the development version from GitHub.
library(devtools) devtools::install_github("AnthonyChristidis/RPEIF")
# Sample Code library(RPEIF) # Loading the data data(edhec, package = "PerformanceAnalytics") colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA", "GM", "LS", "MA", "RV", "SS", "FoF") # Computing the IF of the returns (with outlier cleaning and prewhitening) outIF <- IF(risk = "Mean", returns = edhec[,"CA"], evalShape = FALSE, retVals = NULL, nuisPars = NULL, IFplot = TRUE, IFprint = TRUE, prewhiten = TRUE, cleanOutliers = TRUE, cleanMethod = "locScaleRob", eff = 0.99)
This package is free and open source software, licensed under GPL (>= 2).
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.