Skip to content
This repository contains an R package that implements the influence functions of various risk and performance measures as mentioned in Martin and Zhang (2017) (https://ssrn.com/abstract=2747179) as well as Chen and Martin (2018) (https://ssrn.com/abstract=3085672).
Branch: master
Clone or download
Fetching latest commit…
Cannot retrieve the latest commit at this time.
Permalink
Type Name Latest commit message Commit time
Failed to load latest commit information.
R
man
src
tests
vignettes
.Rbuildignore
.gitignore
.travis.yml
DESCRIPTION
NAMESPACE
NEWS
README.Rmd
README.md
RPEIF.Rproj
cleanup
configure
configure.ac
configure.win

README.md

Build Status CRAN_Status_Badge Downloads

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,
            compile=TRUE, prewhiten=TRUE,
            cleanOutliers=TRUE, cleanMethod=c("locScaleRob", "Boudt")[1], eff=0.99, alpha.robust=0.05)

License

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

You can’t perform that action at this time.