STARR.SE: Wrapper function that computes STARR and the standard error...

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

Description

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

Usage

STARR.SE(data, ..., alpha = 0.1, rf = 0, 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.
alpha	tail probability
rf	risk free rate
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". Currently, it works only when method="historical" and portfolio_method="single".

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.