NEWS.md

In AnthonyChristidis/RPESE: Estimates of Standard Errors for Risk and Performance Measures

RPESE 1.0.0

• Initial stable release of package.

RPESE 1.0.1

• Fix bug for SemiSD.
• Add functionality of package for frequency decimation and truncation.

RPESE 1.0.2

• Add the option to return the coefficients from the Exponential/Gamma fit.

RPESE 1.0.3

• Fix error for the StdDev.SE function.
• Fix error for the SortinoRatio.SE function.
• New option to return the correlations of the returns and the IF transformed returns.

RPESE 1.0.4

• Fix error for prewhitening.

RPESE 1.0.5

• Another error for prewhitening. Now the residuals are passed on for the GLM fit.

RPESE 1.0.6

• Typo for prewhitening (variable name).

RPESE 1.1.0

• Adapt RPESE to changes to RPEIF 1.1.0

RPESE 1.2.0

• Add the robust m-estimator of location.
• Update vignette for new robust estimator and fix old typos.

RPESE 1.2.1

• Update the name for robust mean function.
• Change default SE methods for performance measures (Adapt -> PW)

RPESE 1.2.2

• Update RPEIF function name for mean estimator.
• Remove edhec data.

RPESE 1.2.3

• Fix code errors in the vignette.

RPESE 1.2.4

• Update Description file reference to technical article.

RPESE 1.2.5

• Fix error in point estimate computation for Value-at-Risk.

AnthonyChristidis/RPESE documentation built on Sept. 3, 2024, 4:13 a.m.