LPM.SE: Wrapper function that computes LPM and the standard error of...

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

Description

Wrapper function that computes LPM and the standard error of the estimate

Usage

LPM.SE(data, ..., const = 0, k = 1, se.method = "none")

Arguments

data	data
...	any other passthru parameters. This include two types of parameters. The first type is parameters associated with the risk/performance measure, such as tail probability for VaR and ES. The second type is the parameters associated with the metohd used to compute the standard error. See SE.IF.iid, SE.IF.cor, SE.BOOT.iid, SE.BOOT.cor for details.
const	constant threshold
k	order of the LPM, can only be 1 or 2 if se.method is not "none"
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".

Value

a vector or a list depending on se.method

Author(s)

Xin Chen, [e-mail]

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