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This repository contains an R package that computes the influence functions time series of the returns for the risk and performance measures as mentioned in Chen and Martin (2018) (https://ssrn.com/abstract=3085672), as well as in Zhang et al. (https://ssrn.com/abstract=3415903). Also evaluates estimators influence functions at a set of paramete…

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README.md

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RPEIF

This package provides functions for computing the influence functions of risk and performance measures.


Installation

You can install the stable version on R CRAN.

install.packages("RPEIF", dependencies = TRUE)

You can install the development version from GitHub.

library(devtools)
devtools::install_github("AnthonyChristidis/RPEIF")

Usage

# Sample Code
library(RPEIF)
# Computing the IF of the returns (with outlier cleaning and prewhitening)
# Loading the data
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
                    "GM", "LS", "MA", "RV", "SS", "FoF")
outIF <- IF(risk = "mean",
            returns = edhec[,"CA"], evalShape = FALSE, retVals = NULL, nuisPars = NULL,
            IFplot = TRUE, IFprint = TRUE,
            prewhiten = TRUE,
            cleanOutliers = TRUE, cleanMethod = "locScaleRob", eff = 0.99)

License

This package is free and open source software, licensed under GPL (>= 2).

About

This repository contains an R package that computes the influence functions time series of the returns for the risk and performance measures as mentioned in Chen and Martin (2018) (https://ssrn.com/abstract=3085672), as well as in Zhang et al. (https://ssrn.com/abstract=3415903). Also evaluates estimators influence functions at a set of paramete…

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