View source: R/RPESE.control.R
RPESE.control | R Documentation |
RPESE.controls
sets the different control parameters used in
the compuation of standard errors for risk and performance estimators.
RPESE.control(
estimator = c("Mean", "SD", "VaR", "ES", "SR", "DSR", "SoR", "ESratio", "VaRratio",
"SoR", "LPM", "OmegaRatio", "SemiSD", "RachevRatio")[1],
se.method = NULL,
cleanOutliers = NULL,
fitting.method = NULL,
freq.include = NULL,
freq.par = NULL,
a = NULL,
b = NULL
)
estimator |
Risk or performance estimator used to set default control parameters. Default is "Mean" estimator. |
se.method |
A character string indicating which method should be used to compute
the standard error of the estimated standard deviation. One or a combination of:
|
cleanOutliers |
Boolean variable to indicate whether the pre-whitenning of the influence functions TS should be done through a robust filter. |
fitting.method |
Distribution used in the standard errors computation. Should be one of "Exponential" (default) or "Gamma". |
freq.include |
Frequency domain inclusion criteria. Must be one of "All" (default), "Decimate" or "Truncate." |
freq.par |
Percentage of the frequency used if |
a |
First adaptive method parameter. |
b |
Second adaptive method parameter. |
A list of different control parameters for the computation of standard errors.
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
# Case where we want the default parameters for the ES
ES.control <- RPESE.control(estimator="ES")
# Case where we also set additional parameters manually
ES.control.2 <- RPESE.control(estimator="ES", se.method=c("IFcor", "BOOTiid"),
cleanOutliers=TRUE, freq.include="Decimate")
# These lists can be passed onto the functions (e.g., ES) to control the parameters
# for computing and returning standard errors.
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