sample_random_multests: Generate empirical p-value distributions
In braverock/quantstrat: Quantitative Strategy Model Framework
View source: R/haircut.Sharpe.R
sample_random_multests R Documentation
Generate empirical p-value distributions
Description
Generate empirical p-value distributions
Usage
sample_random_multests(rho, m_tot, p_0, lambda, M_simu)
Arguments
rho
average correlation among returns
m_tot
total number of trials
p_0
probability for a random factor to have a zero mean
lambda
average of monthly mean returns for true strategies
M_simu
number of simulations to perform
braverock/quantstrat documentation built on Sept. 15, 2023, 11:32 a.m.
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View source: R/haircut.Sharpe.R
| sample_random_multests | R Documentation |
Generate empirical p-value distributions
Description
Generate empirical p-value distributions
Usage
sample_random_multests(rho, m_tot, p_0, lambda, M_simu)
Arguments
rho |
average correlation among returns |
m_tot |
total number of trials |
p_0 |
probability for a random factor to have a zero mean |
lambda |
average of monthly mean returns for true strategies |
M_simu |
number of simulations to perform |
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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