Description Usage Arguments Value Author(s) See Also Examples
View source: R/inference.wilcox.R
This function does wilcox inference to generate distribution of average of all the cumulative returns time-series.
1 2 3 4 5 | inference.wilcox(es.w,
to.plot = TRUE,
xlab = "Event time",
ylab = "Cumulative returns of response series",
main = "Event study plot")
|
es.w |
a zoo object indexed by event time: the “z.e”
component of the list returned by the |
to.plot |
a ‘logical’ indicating whether to generate an event study plot of the inference estimated. Defaults to ‘TRUE’. |
xlab |
the x-axis label of the generated plot. Used if “to.plot” is ‘TRUE’. |
ylab |
the y-axis label of the generated plot. Used if “to.plot” is ‘TRUE’. |
main |
main title of the plot. Used if “to.plot” is ‘TRUE’. |
A ‘matrix’ with 3 columns: the lower confidence interval (CI), the mean, and the upper CI which are the result of wilcox inference.
Vikram Bahure, Vimal Balasubramaniam
phys2eventtime
inference.bootstrap
inference.classic
1 2 3 4 5 6 7 8 9 10 | data(StockPriceReturns)
data(SplitDates)
es.results <- phys2eventtime(z = StockPriceReturns,
events = SplitDates,
width = 5)
es.w <- window(es.results$z.e, start = -5, end = +5)
eventtime <- remap.cumsum(es.w, is.pc = FALSE, base = 0)
inference.wilcox(es.w = eventtime, to.plot = FALSE)
|
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