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RPEIF
View on CRAN: Click
here
Download and install RPEIF package within the R console
Install from CRAN:
install.packages("RPEIF")
Install from Github:
library("remotes")
install_github("cran/RPEIF")
Install by package version:
library("remotes")
install_version("RPEIF", "1.2.4")
Attach the package and use:
library("RPEIF")
Maintained by
Anthony Christidis
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2019-10-28
Latest Update: 2021-10-14
Description:
Computes the influence functions time series of the returns for the risk and performance measures as mentioned in Chen and Martin (2018) <https://www.ssrn.com/abstract=3085672>, as well as in Zhang et al. (2019) <https://www.ssrn.com/abstract=3415903>. Also evaluates estimators influence functions at a set of parameter values and plots them to display the shapes of the influence functions.
How to cite:
Anthony Christidis (2019). RPEIF: Computation and Plots of Influence Functions for Risk and Performance Measures. R package version 1.2.4, https://cran.r-project.org/web/packages/RPEIF
Previous versions and publish date:
1.0.1 (2019-10-28 10:20), 1.0.2 (2019-10-28 18:00), 1.0.3 (2019-12-15 16:20), 1.0.5 (2020-03-02 13:50), 1.0.6 (2020-03-03 10:10), 1.0.7 (2020-03-16 11:40), 1.0.8 (2020-04-23 09:20), 1.0 (2019-07-03 18:20), 1.1.0 (2020-10-23 13:00), 1.2.0 (2021-03-09 11:30), 1.2.1 (2021-05-06 13:50), 1.2.2 (2021-05-13 09:32), 1.2.3 (2021-06-09 11:20)
Other packages that cited RPEIF R package
View RPEIF citation profile
Other R packages that RPEIF depends,
imports, suggests or enhances
Functions, R codes and Examples using
the RPEIF R package
Some associated functions: IF.DSR . IF.ES . IF.ESratio . IF.LPM . IF.Mean . IF.OmegaRatio . IF.RachevRatio . IF.SD . IF.SR . IF.SemiSD . IF.SoR . IF.VaR . IF.VaRratio . IF . IF.robMean . nuisParsFn .
Some associated R codes: DataCheck.R . EvaluateShape.R . IF_DSR.R . IF_ES.R . IF_ESRatio.R . IF_LPM.R . IF_Mean.R . IF_OmegaRatio.R . IF_RachevRatio.R . IF_SD.R . IF_SR.R . IF_SemiSD.R . IF_SoR.R . IF_VaR.R . IF_VaRratio.R . IF_robMean.R . InfluenceFunctions.R . NuisanceData.R . Nuisance_Parameters.R . RiskPerformanceMeasure_Functions.R . RobustFilter.R . Full RPEIF package functions and examples
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