GParetoMEFPlot: Plot of Emperical and Generalised Pareto mean excess...
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk
Description
Usage
Arguments
Author(s)
References
Examples
Description
Plots of emperical mean excess function and Generalized mean excess function.
Usage
1
GParetoMEFPlot(Ra, mu, beta, zeta)
Arguments
Ra
Vector of daily Profit/Loss data
mu
Location parameter
beta
Scale parameter
zeta
Assumed tail index
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
1
2
3
4
5
6
# Computes ES assuming generalised Pareto for following parameters
Ra <- 5 * rnorm(100)
mu <- 0
beta <- 1.2
zeta <- 1.6
GParetoMEFPlot(Ra, mu, beta, zeta)
Dowd documentation built on May 2, 2019, 6:15 p.m.
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Description Usage Arguments Author(s) References Examples
Description
Plots of emperical mean excess function and Generalized mean excess function.
Usage
1 | GParetoMEFPlot(Ra, mu, beta, zeta)
|
Arguments
Ra |
Vector of daily Profit/Loss data |
mu |
Location parameter |
beta |
Scale parameter |
zeta |
Assumed tail index |
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
1 2 3 4 5 6 | # Computes ES assuming generalised Pareto for following parameters
Ra <- 5 * rnorm(100)
mu <- 0
beta <- 1.2
zeta <- 1.6
GParetoMEFPlot(Ra, mu, beta, zeta)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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