boot_nonparam: Nonparametric Bootstrap
In antshi/auxPort: Auxiliary functions for portfolio optimization
Description
Usage
Arguments
Value
Examples
Description
Performs a nonparametric bootstrap on returns time series and predefined performance measure.
Usage
1
boot_nonparam(rets, B, sample_size, type = sr_calc)
Arguments
rets
an nxp data matrix with returns.
B
an integer, the number of bootstrap repetitions.
sample_size
an integer, the sample size for the nonparametric bootstrap.
type
a function, the performance measure to be calculated. Default is sr_calc.
Value
a Bxp data matrix with the bootstrapped values of the performance measure from type.
Examples
1
2
data(sp500_rets)
srs_boot <- boot_nonparam(sp500_rets[,2:11], B=1000, sample_size=100, type=sr_calc)
antshi/auxPort documentation built on Oct. 27, 2020, 1:16 p.m.
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Description Usage Arguments Value Examples
Description
Performs a nonparametric bootstrap on returns time series and predefined performance measure.
Usage
1 | boot_nonparam(rets, B, sample_size, type = sr_calc)
|
Arguments
rets |
an nxp data matrix with returns. |
B |
an integer, the number of bootstrap repetitions. |
sample_size |
an integer, the sample size for the nonparametric bootstrap. |
type |
a function, the performance measure to be calculated. Default is sr_calc. |
Value
a Bxp data matrix with the bootstrapped values of the performance measure from type.
Examples
1 2 | data(sp500_rets)
srs_boot <- boot_nonparam(sp500_rets[,2:11], B=1000, sample_size=100, type=sr_calc)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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