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,
            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).