RPESE

This package provides functions for computing standared error estimates for risk and performance measures of asset or portfolio returns.

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Installation

You can install the stable version on R CRAN.

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

You can install the development version from GitHub.

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

Usage

# Sample Code
library(RPESE)
# Loading data from Performance Analytics
data(edhec, package="PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
                    "GM", "LS", "MA", "RV", "SS", "FoF")
# Computing the standard errors for the three influence functions based approaches
ES.out <- ES.SE(edhec, se.method=c("IFiid","IFcor","IFcorAdapt"),
                prewhiten=FALSE, 
                cleanOutliers=FALSE, 
                fitting.method=c("Exponential", "Gamma")[1])
# Print output
printSE(ES.out)

License

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