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 Zhang and Martin (2017) <https://ssrn.com/abstract=2747179> as well as Chen and Martin (2018) <https://ssrn.com/abstract=3085672>. Also evaluates estimators influence functions at a set of parameter values and plots them to display the shapes of the influence functions.

Version: 1.0
Imports: Rcpp (≥ 0.12.17), ggplot2, PerformanceAnalytics, xts, zoo, RobStatTM, stats
LinkingTo: Rcpp, RcppArmadillo
Suggests: R.rsp, testthat
Published: 2019-07-03
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: yes
Materials: README NEWS
CRAN checks: RPEIF results

Downloads:

Reference manual: RPEIF.pdf
Vignettes: R packages:RPEIF Vignette
Package source: RPEIF_1.0.tar.gz
Windows binaries: r-devel: RPEIF_1.0.zip, r-release: RPEIF_1.0.zip, r-oldrel: RPEIF_1.0.zip
OS X binaries: r-release: RPEIF_1.0.tgz, r-oldrel: RPEIF_1.0.tgz

Reverse dependencies:

Reverse imports: RPEGLMEN

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