RES: Compute sample Robust Expected Shortfall

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

Description

Compute sample Robust Expected Shortfall

Usage

RES(data, ..., alpha = 0.01, beta = 0.1)

Arguments

data	Vector of data
alpha	Lower Tail Probability
beta	Upper Tail Probability

Value

sample RES

Author(s)

Xin Chen, [e-mail]

Examples

RES(rnorm(1000))

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