# RPEIF v1.0

0

0th

Percentile

## 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.

# 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)
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)


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

## Functions in RPEIF

 Name Description IF.RachR Influence Function - Rachev Ratio IF Influence Function for Available Risk Measures IF.ESratio Influence Function - Expected Shortfall (ES) Ratio IF.VaRratio Influence Function - Value at Risk (VaR) Ratio IF.ES Influence Function - Expected Shortfall (ES) IF.VaR Influence Function - Value at Risk (VaR) IF.mean Influence Function - Mean nuisParsFn Nuisance Parameters Computation IF.Omega Influence Function - Omega Ratio IF.SSD Influence Function - Semi-Standard Deviation (SSD) IF.SR Influence Function - Sharpe Ratio (SR) IF.SD Influence Function - Standard Deviation IF.SoR Influence Function - Sortino Ratio IF.LPM Influence Function - Lower Partial Moment (LPM) No Results!