KernelESEpanechinikovKernel: Calculates ES using Epanechinikov kernel approach
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk
Description
Usage
Arguments
Value
Author(s)
References
Examples
Description
The output consists of a scalar ES for specified confidence level.
Usage
1
KernelESEpanechinikovKernel(Ra, cl, plot = TRUE)
Arguments
Ra
Profit and Loss data set
cl
ES confidence level
plot
Bool, plots cdf if true
Value
Scalar ES
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
1
2
3
# ES for specified confidence level using Epanechinikov kernel approach
Ra <- rnorm(30)
KernelESEpanechinikovKernel(Ra, .95)
Dowd documentation built on May 2, 2019, 6:15 p.m.
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Description Usage Arguments Value Author(s) References Examples
Description
The output consists of a scalar ES for specified confidence level.
Usage
1 | KernelESEpanechinikovKernel(Ra, cl, plot = TRUE)
|
Arguments
Ra |
Profit and Loss data set |
cl |
ES confidence level |
plot |
Bool, plots cdf if true |
Value
Scalar ES
Author(s)
Dinesh Acharya
References
Dowd, K. Measuring Market Risk, Wiley, 2007.
Examples
1 2 3 | # ES for specified confidence level using Epanechinikov kernel approach
Ra <- rnorm(30)
KernelESEpanechinikovKernel(Ra, .95)
|
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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