EstimatorSE: Wrapper function for computing the standard error of...

In chenx26/EstimatorStandardError: Risk/Performance Measure Estimator Standard Error

Description

Wrapper function for computing the standard error of risk/performance measure estimators

Usage

EstimatorSE(data, ..., estimator.fun = c("Mean", "SD", "VaR", "ES", "SR",
  "SoR", "STARR"), se.method = c("none", "IFiid", "IFcor", "BOOTiid",
  "BOOTcor"))

Arguments

data	xts object of the data
...	extra arugements to be passed to lower level functions, see details
estimator.fun	a character string indicating which risk/performancem measure's standard error should be computed. One of "Mean" (default), "SD", "VaR", "ES", "SR", "SoR", "STARR".
se.method	a character string indicating which method should be used to compute the standard error of the estimated standard deviation. One of "none" (default), "IFiid", "IFcor", "BOOTiid", "BOOTcor". Currely, only "IFiid" is implemented.

Value

the standard error of the specified risk/performance measure using the specified method

Author(s)

Xin Chen, [e-mail]

Examples

data(edhec)
EstimatorSE(edhec,estimator.fun="SD",se.method="IFiid")
EstimatorSE(edhec,estimator.fun="ES",se.method="IFcor")
EstimatorSE(edhec,estimator.fun="ES",se.method="BOOTiid", nsim=100)
EstimatorSE(edhec,estimator.fun="ES",se.method="BOOTcor", nsim=100,
sim = "fixed", l = round(nrow(edhec)/5))

chenx26/EstimatorStandardError documentation built on May 13, 2019, 3:53 p.m.