sample_random_multests: Generate empirical p-value distributions

Description Usage Arguments

View source: R/haircut.Sharpe.R

Description

Generate empirical p-value distributions

Usage

1
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


marsanul/quantstrat documentation built on Aug. 10, 2020, 12:45 a.m.