RPEIF: Computation and Plots of Influence Functions for Risk and Performance Measures

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.

Version: 1.2.4
Imports: xts, zoo, stats, RobStatTM
Suggests: R.rsp, testthat, PerformanceAnalytics
Published: 2021-10-14
DOI: 10.32614/CRAN.package.RPEIF
Author: Anthony Christidis, Shengyu Zhang, Douglas Martin
Maintainer: Anthony Christidis <anthony.christidis at stat.ubc.ca>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Materials: README NEWS
CRAN checks: RPEIF results


Reference manual: RPEIF.pdf
Vignettes: Vignette for Risk and Performance Estimators Influence Functions Package


Package source: RPEIF_1.2.4.tar.gz
Windows binaries: r-devel: RPEIF_1.2.4.zip, r-release: RPEIF_1.2.4.zip, r-oldrel: RPEIF_1.2.4.zip
macOS binaries: r-release (arm64): RPEIF_1.2.4.tgz, r-oldrel (arm64): RPEIF_1.2.4.tgz, r-release (x86_64): RPEIF_1.2.4.tgz, r-oldrel (x86_64): RPEIF_1.2.4.tgz
Old sources: RPEIF archive

Reverse dependencies:

Reverse imports: RPEGLMEN, RPESE


Please use the canonical form https://CRAN.R-project.org/package=RPEIF to link to this page.