parameter_definition: Parameter Definitions

In BayerSe/esback: Expected Shortfall Backtesting

Parameter Definitions

Description

Defines commonly used parameters.

Usage

parameter_definition(r, q, e, s, alpha, B)

Arguments

r	A vector of returns.
q	A vector of Value-at-Risk forecasts.
e	A vector of Expected Shortfall forecasts.
s	A vector of volatility forecasts.
alpha	Scalar probability level in (0, 1).
B	Number of bootstrap samples. Set to 0 to disable bootstrapping.

BayerSe/esback documentation built on Sept. 10, 2023, 2:09 a.m.