| Type: | Package |
| Title: | Computation and Plots of Influence Functions for Risk and Performance Measures |
| Version: | 1.2.4 |
| Date: | 2021-10-11 |
| Author: | Anthony Christidis <anthony.christidis@stat.ubc.ca>, Shengyu Zhang <syzhang@uw.edu>, Douglas Martin <doug@amath.washington.edu> |
| Maintainer: | Anthony Christidis <anthony.christidis@stat.ubc.ca> |
| Description: | 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. |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| Biarch: | true |
| Imports: | xts, zoo, stats, RobStatTM |
| RoxygenNote: | 7.1.1 |
| Suggests: | R.rsp, testthat, PerformanceAnalytics |
| VignetteBuilder: | R.rsp |
| NeedsCompilation: | no |
| Packaged: | 2021-10-12 18:09:34 UTC; antho |
| Repository: | CRAN |
| Date/Publication: | 2021-10-14 11:10:11 UTC |
Influence Function for Available Risk and Performance Measures
Description
IF returns the data and plots the shape of either the IF or the IF TS for a specified estimator.
Usage
IF(
estimator,
returns = NULL,
evalShape = FALSE,
retVals = NULL,
nuisPars = NULL,
k = 4,
IFplot = FALSE,
IFprint = TRUE,
prewhiten = FALSE,
ar.prewhiten.order = 1,
cleanOutliers = FALSE,
cleanMethod = c("locScaleRob")[1],
family = c("mopt", "opt", "bisquare")[1],
eff = 0.99,
...
)
Arguments
estimator |
The estimator of interest. |
returns |
Returns data of the asset or portfolio. This can be a numeric or an xts object. |
evalShape |
Evaluation of the shape of the IF risk or performance measure if TRUE. Otherwise, a TS of the IF of the provided returns is computed. |
retVals |
Values used to evaluate the shape of the IF. |
nuisPars |
Nuisance parameters used for the evaluation of the shape of the IF (if no returns are provided). |
k |
Range parameter for the shape of the IF (the SD gets multiplied k times). |
IFplot |
If TRUE, the plot of the IF shape or IF TS of the returns is produced. |
IFprint |
If TRUE, the data for the IF shape or the IF TS of the returns is returned. |
prewhiten |
Boolean variable to indicate if the IF TS is pre-whitened (TRUE) or not (FALSE). |
ar.prewhiten.order |
Order of AR parameter for the pre-whitening. Default is AR(1). |
cleanOutliers |
Boolean variable to indicate whether outliers are cleaned with a robust location and scale estimator. |
cleanMethod |
Robust method used to clean outliers from the TS. Default choice is "locScaleRob". |
family |
Family for robust m-estimator of location. Must be one of "mopt" (default), "opt" or "bisquare". |
eff |
Tuning parameter for the normal distribution efficiency for robust methods. |
... |
Additional parameters passed on to influence function of risk or performance measure. |
Details
For further details on the usage of the nuisPars argument, please refer to Section 3.1 for the RPEIF vignette.
Author(s)
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
Examples
# Plot of IF using the wrapper function
outIF <- IF(estimator = "Mean",
returns = NULL, evalShape = TRUE, retVals = NULL, nuisPars = list(mu = 0.005),
IFplot = TRUE, IFprint = TRUE)
#' # Loading data (hedge funds returns)
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
"GM", "LS", "MA", "RV", "SS", "FoF")
# Plot of IF using wrapper function and with a specified TS
outIF <- IF(estimator = "Mean",
returns = edhec[,"CA"], evalShape = TRUE,
retVals = seq(-0.1, 0.1, by = 0.001), nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
# Computing the IF of the returns (with prewhitening) with a plot of IF TS
outIF <- IF(estimator = "Mean",
returns = edhec[,"CA"], evalShape = FALSE, retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE,
compile = TRUE, prewhiten = FALSE)
Influence Function - Downside Sharpe Ratio
Description
IF.DSR returns the data and plots the shape of either the IF or the IF TS for the Downside Sharpe Ratio.
Usage
IF.DSR(
returns = NULL,
evalShape = FALSE,
retVals = NULL,
nuisPars = NULL,
k = 4,
IFplot = FALSE,
IFprint = TRUE,
rf = 0,
prewhiten = FALSE,
ar.prewhiten.order = 1,
cleanOutliers = FALSE,
cleanMethod = c("locScaleRob")[1],
eff = 0.99,
...
)
Arguments
returns |
Returns data of the asset or portfolio. This can be a numeric or an xts object. |
evalShape |
Evaluation of the shape of the IF risk or performance measure if TRUE. Otherwise, a TS of the IF of the provided returns is computed. |
retVals |
Values used to evaluate the shape of the IF. |
nuisPars |
Nuisance parameters used for the evaluation of the shape of the IF (if no returns are provided). |
k |
Range parameter for the shape of the IF (the SD gets multiplied k times). |
IFplot |
If TRUE, the plot of the IF shape or IF TS of the returns is produced. |
IFprint |
If TRUE, the data for the IF shape or the IF TS of the returns is returned. |
rf |
Risk-free interest rate. |
prewhiten |
Boolean variable to indicate if the IF TS is pre-whitened (TRUE) or not (FALSE). |
ar.prewhiten.order |
Order of AR parameter for the pre-whitening. Default is AR(1). |
cleanOutliers |
Boolean variable to indicate whether outliers are cleaned with a robust location and scale estimator. |
cleanMethod |
Robust method used to clean outliers from the TS. Default choice is "locScaleRob". |
eff |
Tuning parameter for the normal distribution efficiency for the "locScaleRob" robust data cleaning. |
... |
Addtional parameters. |
Details
For further details on the usage of the nuisPars argument, please refer to Section 3.1 for the RPEIF vignette.
Value
Influence function of DSR.
Author(s)
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
Examples
# Plot of IF with nuisance parameter with return value
outIF <- IF.DSR(returns = NULL, evalShape = TRUE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
"GM", "LS", "MA", "RV", "SS", "FoF")
# Plot of IF a specified TS
outIF <- IF.DSR(returns = edhec[,"CA"], evalShape = TRUE,
retVals = seq(-0.1, 0.1, by = 0.001), nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
# Computing the IF of the returns (with prewhitening) with a plot of IF TS
outIF <- IF.DSR(returns = edhec[,"CA"], evalShape = FALSE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE,
prewhiten = FALSE)
Influence Function - Expected Shortfall (ES)
Description
IF.ES returns the data and plots the shape of either the IF or the IF TS for the ES
Usage
IF.ES(
returns = NULL,
evalShape = FALSE,
retVals = NULL,
nuisPars = NULL,
k = 4,
IFplot = FALSE,
IFprint = TRUE,
alpha.ES = 0.05,
prewhiten = FALSE,
ar.prewhiten.order = 1,
cleanOutliers = FALSE,
cleanMethod = c("locScaleRob")[1],
eff = 0.99,
...
)
Arguments
returns |
Returns data of the asset or portfolio. This can be a numeric or an xts object. |
evalShape |
Evaluation of the shape of the IF risk or performance measure if TRUE. Otherwise, a TS of the IF of the provided returns is computed. |
retVals |
Values used to evaluate the shape of the IF. |
nuisPars |
Nuisance parameters used for the evaluation of the shape of the IF (if no returns are provided). |
k |
Range parameter for the shape of the IF (the SD gets multiplied k times). |
IFplot |
If TRUE, the plot of the IF shape or IF TS of the returns is produced. |
IFprint |
If TRUE, the data for the IF shape or the IF TS of the returns is returned. |
alpha.ES |
Tail Probability. |
prewhiten |
Boolean variable to indicate if the IF TS is pre-whitened (TRUE) or not (FALSE). |
ar.prewhiten.order |
Order of AR parameter for the pre-whitening. Default is AR(1). |
cleanOutliers |
Boolean variable to indicate whether outliers are cleaned with a robust location and scale estimator. |
cleanMethod |
Robust method used to clean outliers from the TS. Default choice is "locScaleRob". |
eff |
Tuning parameter for the normal distribution efficiency for the "locScaleRob" robust data cleaning. |
... |
Additional parameters. |
Details
For further details on the usage of the nuisPars argument, please refer to Section 3.1 for the RPEIF vignette.
Value
Influence function of the ES.
Author(s)
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
Examples
# Plot of IF with nuisance parameter with return value
outIF <- IF.ES(returns = NULL, evalShape = TRUE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
"GM", "LS", "MA", "RV", "SS", "FoF")
# Plot of IF a specified TS
outIF <- IF.ES(returns = edhec[,"CA"], evalShape = TRUE,
retVals = seq(-0.1, 0.1, by = 0.001), nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
# Computing the IF of the returns (with prewhitening) with a plot of IF TS
outIF <- IF.ES(returns = edhec[,"CA"], evalShape = FALSE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE,
prewhiten = FALSE)
Influence Function - Expected Shortfall (ES) Ratio
Description
IF.ESratio returns the data and plots the shape of either the IF or the IF TS for the Expected Shortfall Ratio.
Usage
IF.ESratio(
returns = NULL,
evalShape = FALSE,
retVals = NULL,
nuisPars = NULL,
k = 4,
IFplot = FALSE,
IFprint = TRUE,
alpha = 0.1,
rf = 0,
prewhiten = FALSE,
ar.prewhiten.order = 1,
cleanOutliers = FALSE,
cleanMethod = c("locScaleRob")[1],
eff = 0.99,
...
)
Arguments
returns |
Returns data of the asset or portfolio. This can be a numeric or an xts object. |
evalShape |
Evaluation of the shape of the IF risk or performance measure if TRUE. Otherwise, a TS of the IF of the provided returns is computed. |
retVals |
Values used to evaluate the shape of the IF. |
nuisPars |
Nuisance parameters used for the evaluation of the shape of the IF (if no returns are provided). |
k |
Range parameter for the shape of the IF (the SD gets multiplied k times). |
IFplot |
If TRUE, the plot of the IF shape or IF TS of the returns is produced. |
IFprint |
If TRUE, the data for the IF shape or the IF TS of the returns is returned. |
alpha |
Tail Probability. |
rf |
Risk-free interest rate. |
prewhiten |
Boolean variable to indicate if the IF TS is pre-whitened (TRUE) or not (FALSE). |
ar.prewhiten.order |
Order of AR parameter for the pre-whitening. Default is AR(1). |
cleanOutliers |
Boolean variable to indicate whether outliers are cleaned with a robust location and scale estimator. |
cleanMethod |
Robust method used to clean outliers from the TS. Default choice is "locScaleRob". |
eff |
Tuning parameter for the normal distribution efficiency for the "locScaleRob" robust data cleaning. |
... |
Additional parameters. |
Details
For further details on the usage of the nuisPars argument, please refer to Section 3.1 for the RPEIF vignette.
Value
Influence function of ESratio.
Author(s)
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
Examples
# Plot of IF with nuisance parameter with return value
outIF <- IF.ESratio(returns = NULL, evalShape = TRUE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
"GM", "LS", "MA", "RV", "SS", "FoF")
# Plot of IF a specified TS
outIF <- IF.ESratio(returns = edhec[,"CA"], evalShape = TRUE,
retVals = seq(-0.1, 0.1, by = 0.001), nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
# Computing the IF of the returns (with prewhitening) with a plot of IF TS
outIF <- IF.ESratio(returns = edhec[,"CA"], evalShape = FALSE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE,
prewhiten = FALSE)
Influence Function - Lower Partial Moment (LPM)
Description
IF.LPM returns the data and plots the shape of either the IF or the IF TS for the LPM
Usage
IF.LPM(
returns = NULL,
evalShape = FALSE,
retVals = NULL,
nuisPars = NULL,
k = 4,
IFplot = FALSE,
IFprint = TRUE,
const = 0,
order = 1,
prewhiten = FALSE,
ar.prewhiten.order = 1,
cleanOutliers = FALSE,
cleanMethod = c("locScaleRob")[1],
eff = 0.99,
...
)
Arguments
returns |
Returns data of the asset or portfolio. This can be a numeric or an xts object. |
evalShape |
Evaluation of the shape of the IF risk or performance measure if TRUE. Otherwise, a TS of the IF of the provided returns is computed. |
retVals |
Values used to evaluate the shape of the IF. |
nuisPars |
Nuisance parameters used for the evaluation of the shape of the IF (if no returns are provided). |
k |
Range parameter for the shape of the IF (the SD gets multiplied k times). |
IFplot |
If TRUE, the plot of the IF shape or IF TS of the returns is produced. |
IFprint |
If TRUE, the data for the IF shape or the IF TS of the returns is returned. |
const |
Constant threshold. |
order |
Order of LPM. Can only take values 1 or 2. |
prewhiten |
Boolean variable to indicate if the IF TS is pre-whitened (TRUE) or not (FALSE). |
ar.prewhiten.order |
Order of AR parameter for the pre-whitening. Default is AR(1). |
cleanOutliers |
Boolean variable to indicate whether outliers are cleaned with a robust location and scale estimator. |
cleanMethod |
Robust method used to clean outliers from the TS. Default choice is "locScaleRob". |
eff |
Tuning parameter for the normal distribution efficiency for the "locScaleRob" robust data cleaning. |
... |
Additional parameters. |
Details
For further details on the usage of the nuisPars argument, please refer to Section 3.1 for the RPEIF vignette.
Value
Influence function of LPM.
Author(s)
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
Examples
# Plot of IF with nuisance parameter with return value
outIF <- IF.LPM(returns = NULL, evalShape = TRUE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
"GM", "LS", "MA", "RV", "SS", "FoF")
# Plot of IF a specified TS
outIF <- IF.LPM(returns = edhec[,"CA"], evalShape = TRUE,
retVals = seq(-0.1, 0.1, by = 0.001), nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
# Computing the IF of the returns (with prewhitening) with a plot of IF TS
outIF <- IF.LPM(returns = edhec[,"CA"], evalShape = FALSE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE,
prewhiten = FALSE)
Influence Function - Mean
Description
IF.Mean returns the data and plots the shape of either the IF or the IF TS for the mean.
Usage
IF.Mean(
returns = NULL,
evalShape = FALSE,
retVals = NULL,
nuisPars = NULL,
k = 4,
IFplot = FALSE,
IFprint = TRUE,
prewhiten = FALSE,
ar.prewhiten.order = 1,
cleanOutliers = FALSE,
cleanMethod = c("locScaleRob")[1],
eff = 0.99,
...
)
Arguments
returns |
Returns data of the asset or portfolio. This can be a numeric or an xts object. |
evalShape |
Evaluation of the shape of the IF risk or performance measure if TRUE. Otherwise, a TS of the IF of the provided returns is computed. |
retVals |
Values used to evaluate the shape of the IF. |
nuisPars |
Nuisance parameters used for the evaluation of the shape of the IF (if no returns are provided). |
k |
Range parameter for the shape of the IF (the SD gets multiplied k times). |
IFplot |
If TRUE, the plot of the IF shape or IF TS of the returns is produced. |
IFprint |
If TRUE, the data for the IF shape or the IF TS of the returns is returned. |
prewhiten |
Boolean variable to indicate if the IF TS is pre-whitened (TRUE) or not (FALSE). |
ar.prewhiten.order |
Order of AR parameter for the pre-whitening. Default is AR(1). |
cleanOutliers |
Boolean variable to indicate whether outliers are cleaned with a robust location and scale estimator. |
cleanMethod |
Robust method used to clean outliers from the TS. Default choice is "locScaleRob". |
eff |
Tuning parameter for the normal distribution efficiency for the "locScaleRob" robust data cleaning. |
... |
Additional parameters. |
Details
For further details on the usage of the nuisPars argument, please refer to Section 3.1 for the RPEIF vignette.
Value
Influence function for the specified risk or performance measure.
Author(s)
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
Examples
# Plot of IF with nuisance parameter with return value
outIF <- IF.Mean(returns = NULL, evalShape = TRUE, retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
"GM", "LS", "MA", "RV", "SS", "FoF")
# Plot of IF a specified TS
outIF <- IF.Mean(estimator = "mean",
returns = edhec[,"CA"], evalShape = TRUE,
retVals = seq(-0.1, 0.1, by = 0.001), nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
# Computing the IF of the returns (with prewhitening) with a plot of IF TS
outIF <- IF.Mean(returns = edhec[,"CA"], evalShape = FALSE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE,
prewhiten = FALSE)
Influence Function - Omega Ratio
Description
IF.OmegaRatio returns the data and plots the shape of either the IF or the IF TS for the Omega Ratio.
Usage
IF.OmegaRatio(
returns = NULL,
evalShape = FALSE,
retVals = NULL,
nuisPars = NULL,
k = 4,
IFplot = FALSE,
IFprint = TRUE,
const = 0,
prewhiten = FALSE,
ar.prewhiten.order = 1,
cleanOutliers = FALSE,
cleanMethod = c("locScaleRob")[1],
eff = 0.99,
...
)
Arguments
returns |
Returns data of the asset or portfolio. This can be a numeric or an xts object. |
evalShape |
Evaluation of the shape of the IF risk or performance measure if TRUE. Otherwise, a TS of the IF of the provided returns is computed. |
retVals |
Values used to evaluate the shape of the IF. |
nuisPars |
Nuisance parameters used for the evaluation of the shape of the IF (if no returns are provided). |
k |
Range parameter for the shape of the IF (the SD gets multiplied k times). |
IFplot |
If TRUE, the plot of the IF shape or IF TS of the returns is produced. |
IFprint |
If TRUE, the data for the IF shape or the IF TS of the returns is returned. |
const |
Constant threshold. |
prewhiten |
Boolean variable to indicate if the IF TS is pre-whitened (TRUE) or not (FALSE). |
ar.prewhiten.order |
Order of AR parameter for the pre-whitening. Default is AR(1). |
cleanOutliers |
Boolean variable to indicate whether outliers are cleaned with a robust location and scale estimator. |
cleanMethod |
Robust method used to clean outliers from the TS. Default choice is "locScaleRob". |
eff |
Tuning parameter for the normal distribution efficiency for the "locScaleRob" robust data cleaning. |
... |
Additional parameters. |
Details
For further details on the usage of the nuisPars argument, please refer to Section 3.1 for the RPEIF vignette.
Value
Influence function of Omega Ratio.
Author(s)
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
Examples
# Plot of IF with nuisance parameter with return value
outIF <- IF.OmegaRatio(returns = NULL, evalShape = TRUE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
"GM", "LS", "MA", "RV", "SS", "FoF")
# Plot of IF a specified TS
outIF <- IF.OmegaRatio(returns = edhec[,"CA"], evalShape = TRUE,
retVals = seq(-0.1, 0.1, by = 0.001), nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
# Computing the IF of the returns (with prewhitening) with a plot of IF TS
outIF <- IF.OmegaRatio(returns = edhec[,"CA"], evalShape = FALSE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE,
prewhiten = FALSE)
Influence Function - Rachev Ratio
Description
IF.RachevRatio returns the data and plots the shape of either the IF or the IF TS for the Rachev Ratio.
Usage
IF.RachevRatio(
returns = NULL,
evalShape = FALSE,
retVals = NULL,
nuisPars = NULL,
k = 4,
IFplot = FALSE,
IFprint = TRUE,
alpha = 0.1,
beta = 0.1,
prewhiten = FALSE,
ar.prewhiten.order = 1,
cleanOutliers = FALSE,
cleanMethod = c("locScaleRob")[1],
eff = 0.99,
...
)
Arguments
returns |
Returns data of the asset or portfolio. This can be a numeric or an xts object. |
evalShape |
Evaluation of the shape of the IF risk or performance measure if TRUE. Otherwise, a TS of the IF of the provided returns is computed. |
retVals |
Values used to evaluate the shape of the IF. |
nuisPars |
Nuisance parameters used for the evaluation of the shape of the IF (if no returns are provided). |
k |
Range parameter for the shape of the IF (the SD gets multiplied k times). |
IFplot |
If TRUE, the plot of the IF shape or IF TS of the returns is produced. |
IFprint |
If TRUE, the data for the IF shape or the IF TS of the returns is returned. |
alpha |
Lower tail probability. |
beta |
Upper tail probability. |
prewhiten |
Boolean variable to indicate if the IF TS is pre-whitened (TRUE) or not (FALSE). |
ar.prewhiten.order |
Order of AR parameter for the pre-whitening. Default is AR(1). |
cleanOutliers |
Boolean variable to indicate whether outliers are cleaned with a robust location and scale estimator. |
cleanMethod |
Robust method used to clean outliers from the TS. Default choice is "locScaleRob". |
eff |
Tuning parameter for the normal distribution efficiency for the "locScaleRob" robust data cleaning. |
... |
Additional parameters. |
Details
For further details on the usage of the nuisPars argument, please refer to Section 3.1 for the RPEIF vignette.
Value
Influence function of Rachev Ratio.
Author(s)
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
Examples
# Plot of IF with nuisance parameter with return value
outIF <- IF.RachevRatio(returns = NULL, evalShape = TRUE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
"GM", "LS", "MA", "RV", "SS", "FoF")
# Plot of IF a specified TS
outIF <- IF.RachevRatio(returns = edhec[,"CA"], evalShape = TRUE,
retVals = seq(-0.1, 0.1, by = 0.001), nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
# Computing the IF of the returns (with prewhitening) with a plot of IF TS
outIF <- IF.RachevRatio(returns = edhec[,"CA"], evalShape = FALSE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE,
prewhiten = FALSE)
Influence Function - Standard Deviation
Description
IF.SD returns the data and plots the shape of either the IF or the IF TS for the standard deviation
Usage
IF.SD(
returns = NULL,
evalShape = FALSE,
retVals = NULL,
nuisPars = NULL,
k = 4,
IFplot = FALSE,
IFprint = TRUE,
prewhiten = FALSE,
ar.prewhiten.order = 1,
cleanOutliers = FALSE,
cleanMethod = c("locScaleRob")[1],
eff = 0.99,
...
)
Arguments
returns |
Vector of the returns of the asset or portfolio. |
evalShape |
Evaluation of the shape of the IF risk or performance measure if TRUE. Otherwise, a TS of the IF of the provided returns is computed. |
retVals |
Values used to evaluate the shape of the IF. |
nuisPars |
Nuisance parameters used for the evaluation of the shape of the IF (if no returns are provided). |
k |
Range parameter for the shape of the IF (the SD gets multiplied k times). |
IFplot |
If TRUE, the plot of the IF shape or IF TS of the returns is produced. |
IFprint |
If TRUE, the data for the IF shape or the IF TS of the returns is returned. |
prewhiten |
Boolean variable to indicate if the IF TS is pre-whitened (TRUE) or not (FALSE). |
ar.prewhiten.order |
Order of AR parameter for the pre-whitening. Default is AR(1). |
cleanOutliers |
Boolean variable to indicate whether outliers are cleaned with a robust location and scale estimator. |
cleanMethod |
Robust method used to clean outliers from the TS. Default choice is "locScaleRob". |
eff |
Tuning parameter for the normal distribution efficiency for the "locScaleRob" robust data cleaning. |
... |
Additional parameters. |
Details
For further details on the usage of the nuisPars argument, please refer to Section 3.1 for the RPEIF vignette.
Value
Influence function of the standard deviation.
Author(s)
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
Examples
# Plot of IF with nuisance parameter with return value
outIF <- IF.SD(returns = NULL, evalShape = TRUE, retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
"GM", "LS", "MA", "RV", "SS", "FoF")
# Plot of IF a specified TS
outIF <- IF.SD(returns = edhec[,"CA"], evalShape = TRUE,
retVals = seq(-0.1, 0.1, by = 0.001), nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
# Computing the IF of the returns (with prewhitening) with a plot of IF TS
outIF <- IF.SD(returns = edhec[,"CA"], evalShape = FALSE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE,
prewhiten = FALSE)
Influence Function - Sharpe Ratio (SR)
Description
IF.SR returns the data and plots the shape of either the IF or the IF TS for the SR
Usage
IF.SR(
returns = NULL,
evalShape = FALSE,
retVals = NULL,
nuisPars = NULL,
k = 4,
IFplot = FALSE,
IFprint = TRUE,
rf = 0,
prewhiten = FALSE,
ar.prewhiten.order = 1,
cleanOutliers = FALSE,
cleanMethod = c("locScaleRob")[1],
eff = 0.99,
...
)
Arguments
returns |
Returns data of the asset or portfolio. This can be a numeric or an xts object. |
evalShape |
Evaluation of the shape of the IF risk or performance measure if TRUE. Otherwise, a TS of the IF of the provided returns is computed. |
retVals |
Values used to evaluate the shape of the IF. |
nuisPars |
Nuisance parameters used for the evaluation of the shape of the IF (if no returns are provided). |
k |
Range parameter for the shape of the IF (the SD gets multiplied k times). |
IFplot |
If TRUE, the plot of the IF shape or IF TS of the returns is produced. |
IFprint |
If TRUE, the data for the IF shape or the IF TS of the returns is returned. |
rf |
Risk-free interest rate. |
prewhiten |
Boolean variable to indicate if the IF TS is pre-whitened (TRUE) or not (FALSE). |
ar.prewhiten.order |
Order of AR parameter for the pre-whitening. Default is AR(1). |
cleanOutliers |
Boolean variable to indicate whether outliers are cleaned with a robust location and scale estimator. |
cleanMethod |
Robust method used to clean outliers from the TS. Default choice is "locScaleRob". |
eff |
Tuning parameter for the normal distribution efficiency for the "locScaleRob" robust data cleaning. |
... |
Additional parameters. |
Details
For further details on the usage of the nuisPars argument, please refer to Section 3.1 for the RPEIF vignette.
Value
Influence function of the SR.
Author(s)
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
Examples
# Plot of IF with nuisance parameter with return value
outIF <- IF.SR(returns = NULL, evalShape = TRUE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
"GM", "LS", "MA", "RV", "SS", "FoF")
# Plot of IF a specified TS
outIF <- IF.SR(returns = edhec[,"CA"], evalShape = TRUE,
retVals = seq(-0.1, 0.1, by = 0.001), nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
# Computing the IF of the returns (with prewhitening) with a plot of IF TS
outIF <- IF.SR(returns = edhec[,"CA"], evalShape = FALSE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE,
prewhiten = FALSE)
Influence Function - Semi-Standard Deviation (SemiSD)
Description
IF.SemiSD returns the data and plots the shape of either the IF or the IF TS for the SemiSD
Usage
IF.SemiSD(
returns = NULL,
evalShape = FALSE,
retVals = NULL,
nuisPars = NULL,
k = 4,
IFplot = FALSE,
IFprint = TRUE,
prewhiten = FALSE,
ar.prewhiten.order = 1,
cleanOutliers = FALSE,
cleanMethod = c("locScaleRob")[1],
eff = 0.99,
...
)
Arguments
returns |
Returns data of the asset or portfolio. This can be a numeric or an xts object. |
evalShape |
Evaluation of the shape of the IF risk or performance measure if TRUE. Otherwise, a TS of the IF of the provided returns is computed. |
retVals |
Values used to evaluate the shape of the IF. |
nuisPars |
Nuisance parameters used for the evaluation of the shape of the IF (if no returns are provided). |
k |
Range parameter for the shape of the IF (the SD gets multiplied k times). |
IFplot |
If TRUE, the plot of the IF shape or IF TS of the returns is produced. |
IFprint |
If TRUE, the data for the IF shape or the IF TS of the returns is returned. |
prewhiten |
Boolean variable to indicate if the IF TS is pre-whitened (TRUE) or not (FALSE). |
ar.prewhiten.order |
Order of AR parameter for the pre-whitening. Default is AR(1). |
cleanOutliers |
Boolean variable to indicate whether outliers are cleaned with a robust location and scale estimator. |
cleanMethod |
Robust method used to clean outliers from the TS. Default choice is "locScaleRob". |
eff |
Tuning parameter for the normal distribution efficiency for the "locScaleRob" robust data cleaning. |
... |
Additional parameters. |
Details
For further details on the usage of the nuisPars argument, please refer to Section 3.1 for the RPEIF vignette.
Value
Influence function of SemiSD.
Author(s)
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
Examples
# Plot of IF with nuisance parameter with return value
outIF <- IF.SemiSD(returns = NULL, evalShape = TRUE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
"GM", "LS", "MA", "RV", "SS", "FoF")
# Plot of IF a specified TS
outIF <- IF.SemiSD(returns = edhec[,"CA"], evalShape = TRUE,
retVals = seq(-0.1, 0.1, by = 0.001), nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
# Computing the IF of the returns (with prewhitening) with a plot of IF TS
outIF <- IF.SemiSD(returns = edhec[,"CA"], evalShape = FALSE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE,
prewhiten = FALSE)
Influence Function - Sortino Ratio
Description
IF.SoR returns the data and plots the shape of either the IF or the IF TS for the Sortino Ratio.
Usage
IF.SoR(
returns = NULL,
evalShape = FALSE,
retVals = NULL,
nuisPars = NULL,
k = 4,
IFplot = FALSE,
IFprint = TRUE,
threshold = c("const", "mean")[1],
const = 0,
rf = 0,
prewhiten = FALSE,
ar.prewhiten.order = 1,
cleanOutliers = FALSE,
cleanMethod = c("locScaleRob")[1],
eff = 0.99,
...
)
Arguments
returns |
Returns data of the asset or portfolio. This can be a numeric or an xts object. |
evalShape |
Evaluation of the shape of the IF risk or performance measure if TRUE. Otherwise, a TS of the IF of the provided returns is computed. |
retVals |
Values used to evaluate the shape of the IF. |
nuisPars |
Nuisance parameters used for the evaluation of the shape of the IF (if no returns are provided). |
k |
Range parameter for the shape of the IF (the SD gets multiplied k times). |
IFplot |
If TRUE, the plot of the IF shape or IF TS of the returns is produced. |
IFprint |
If TRUE, the data for the IF shape or the IF TS of the returns is returned. |
threshold |
Parameter of threshold is either "mean" or "const". Default is "mean". |
const |
The threshold if threshold is "const". |
rf |
Risk-free interest rate. |
prewhiten |
Boolean variable to indicate if the IF TS is pre-whitened (TRUE) or not (FALSE). |
ar.prewhiten.order |
Order of AR parameter for the pre-whitening. Default is AR(1). |
cleanOutliers |
Boolean variable to indicate whether outliers are cleaned with a robust location and scale estimator. |
cleanMethod |
Robust method used to clean outliers from the TS. Default choice is "locScaleRob". |
eff |
Tuning parameter for the normal distribution efficiency for the "locScaleRob" robust data cleaning. |
... |
Addtional parameters. |
Details
For further details on the usage of the nuisPars argument, please refer to Section 3.1 for the RPEIF vignette.
Value
Influence function of SoR.
Author(s)
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
Examples
# Plot of IF with nuisance parameter with return value
outIF <- IF.SoR(returns = NULL, evalShape = TRUE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
"GM", "LS", "MA", "RV", "SS", "FoF")
# Plot of IF a specified TS
outIF <- IF.SoR(returns = edhec[,"CA"], evalShape = TRUE,
retVals = seq(-0.1, 0.1, by = 0.001), nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
# Computing the IF of the returns (with prewhitening) with a plot of IF TS
outIF <- IF.SoR(returns = edhec[,"CA"], evalShape = FALSE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE,
prewhiten = FALSE)
Influence Function - Value at Risk (VaR)
Description
IF.VaR returns the data and plots the shape of either the IF or the IF TS for the Value at Risk
Usage
IF.VaR(
returns = NULL,
evalShape = FALSE,
retVals = NULL,
nuisPars = NULL,
k = 4,
IFplot = FALSE,
IFprint = TRUE,
alpha = 0.05,
prewhiten = FALSE,
ar.prewhiten.order = 1,
cleanOutliers = FALSE,
cleanMethod = c("locScaleRob")[1],
eff = 0.99,
...
)
Arguments
returns |
Returns data of the asset or portfolio. This can be a numeric or an xts object. |
evalShape |
Evaluation of the shape of the IF risk or performance measure if TRUE. Otherwise, a TS of the IF of the provided returns is computed. |
retVals |
Values used to evaluate the shape of the IF. |
nuisPars |
Nuisance parameters used for the evaluation of the shape of the IF (if no returns are provided). |
k |
Range parameter for the shape of the IF (the SD gets multiplied k times). |
IFplot |
If TRUE, the plot of the IF shape or IF TS of the returns is produced. |
IFprint |
If TRUE, the data for the IF shape or the IF TS of the returns is returned. |
alpha |
The tail probability of interest. |
prewhiten |
Boolean variable to indicate if the IF TS is pre-whitened (TRUE) or not (FALSE). |
ar.prewhiten.order |
Order of AR parameter for the pre-whitening. Default is AR(1). |
cleanOutliers |
Boolean variable to indicate whether outliers are cleaned with a robust location and scale estimator. |
cleanMethod |
Robust method used to clean outliers from the TS. Default choice is "locScaleRob". |
eff |
Tuning parameter for the normal distribution efficiency for the "locScaleRob" robust data cleaning. |
... |
Additional parameters. |
Details
For further details on the usage of the nuisPars argument, please refer to Section 3.1 for the RPEIF vignette.
Value
Influence function of the VaR.
Author(s)
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
Examples
# Plot of IF with nuisance parameter with return value
outIF <- IF.VaR(returns = NULL, evalShape = TRUE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
"GM", "LS", "MA", "RV", "SS", "FoF")
# Plot of IF a specified TS
outIF <- IF.VaR(returns = edhec[,"CA"], evalShape = TRUE,
retVals = seq(-0.1, 0.1, by = 0.001), nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
# Computing the IF of the returns (with prewhitening) with a plot of IF TS
outIF <- IF.VaR(returns = edhec[,"CA"], evalShape = FALSE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE,
prewhiten = FALSE)
Influence Function - Value at Risk (VaR) Ratio
Description
IF.VaRratio returns the data and plots the shape of either the IF or the IF TS for the VaR Ratio.
Usage
IF.VaRratio(
returns = NULL,
evalShape = FALSE,
retVals = NULL,
nuisPars = NULL,
k = 4,
IFplot = FALSE,
IFprint = TRUE,
alpha = 0.05,
rf = 0,
prewhiten = FALSE,
ar.prewhiten.order = 1,
cleanOutliers = FALSE,
cleanMethod = c("locScaleRob")[1],
eff = 0.99,
...
)
Arguments
returns |
Returns data of the asset or portfolio. This can be a numeric or an xts object. |
evalShape |
Evaluation of the shape of the IF risk or performance measure if TRUE. Otherwise, a TS of the IF of the provided returns is computed. |
retVals |
Values used to evaluate the shape of the IF. |
nuisPars |
Nuisance parameters used for the evaluation of the shape of the IF (if no returns are provided). |
k |
Range parameter for the shape of the IF (the SD gets multiplied k times). |
IFplot |
If TRUE, the plot of the IF shape or IF TS of the returns is produced. |
IFprint |
If TRUE, the data for the IF shape or the IF TS of the returns is returned. |
alpha |
The tail probability of interest. |
rf |
Risk-free interest rate. |
prewhiten |
Boolean variable to indicate if the IF TS is pre-whitened (TRUE) or not (FALSE). |
ar.prewhiten.order |
Order of AR parameter for the pre-whitening. Default is AR(1). |
cleanOutliers |
Boolean variable to indicate whether outliers are cleaned with a robust location and scale estimator. |
cleanMethod |
Robust method used to clean outliers from the TS. Default choice is "locScaleRob". |
eff |
Tuning parameter for the normal distribution efficiency for the "locScaleRob" robust data cleaning. |
... |
Additional parameters. |
Details
For further details on the usage of the nuisPars argument, please refer to Section 3.1 for the RPEIF vignette.
Value
Influence function of the VaRratio.
Author(s)
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
Examples
# Plot of IF with nuisance parameter with return value
outIF <- IF.VaRratio(returns = NULL, evalShape = TRUE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
"GM", "LS", "MA", "RV", "SS", "FoF")
# Plot of IF a specified TS
outIF <- IF.VaRratio(returns = edhec[,"CA"], evalShape = TRUE,
retVals = seq(-0.1, 0.1, by = 0.001), nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE)
# Computing the IF of the returns (with prewhitening) with a plot of IF TS
outIF <- IF.VaRratio(returns = edhec[,"CA"], evalShape = FALSE,
retVals = NULL, nuisPars = NULL,
IFplot = TRUE, IFprint = TRUE,
prewhiten = FALSE)
Influence Function - Robust M-Estimator of Mean
Description
IF.robMean returns the data and plots the shape of either the IF or the IF TS for the M-estimator of Mean.
Usage
IF.robMean(
returns = NULL,
family = c("mopt", "opt", "bisquare")[1],
eff = 0.95,
evalShape = FALSE,
retVals = NULL,
nuisPars = NULL,
k = 4,
IFplot = FALSE,
IFprint = TRUE,
prewhiten = FALSE,
ar.prewhiten.order = 1,
...
)
Arguments
returns |
Returns data of the asset or portfolio. This can be a numeric or an xts object. |
family |
Family for robust m-estimator of Mean. Must be one of "mopt" (default), "opt" or "bisquare". |
eff |
Tuning parameter for the normal distribution efficiency. Default is 0.99. |
evalShape |
Evaluation of the shape of the IF risk or performance measure if TRUE. Otherwise, a TS of the IF of the provided returns is computed. |
retVals |
Values used to evaluate the shape of the IF. |
nuisPars |
Nuisance parameters used for the evaluation of the shape of the IF (if no returns are provided). |
k |
Range parameter for the shape of the IF (the SD gets multiplied k times). |
IFplot |
If TRUE, the plot of the IF shape or IF TS of the returns is produced. |
IFprint |
If TRUE, the data for the IF shape or the IF TS of the returns is returned. |
prewhiten |
Boolean variable to indicate if the IF TS is pre-whitened (TRUE) or not (FALSE). |
ar.prewhiten.order |
Order of AR parameter for the pre-whitening. Default is AR(1). |
... |
Addtional parameters. |
Details
For further details on the usage of the nuisPars argument, please refer to Section 3.1 for the RPEIF vignette.
Value
Influence function for M-estimator of Mean
Author(s)
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
Examples
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
"GM", "LS", "MA", "RV", "SS", "FoF")
# Plot of IF shape
outIF <- IF.robMean(returns = edhec[,"CA"], evalShape = TRUE,
retVals = NULL,
IFplot = TRUE, IFprint = TRUE)
# Plot of IF a specified TS
outIF <- IF.robMean(returns = edhec[,"CA"], evalShape = TRUE,
retVals = seq(-0.1, 0.1, by = 0.001),
IFplot = TRUE, IFprint = TRUE)
# Computing the IF of the returns (with prewhitening) with a plot of IF TS
outIF <- IF.robMean(returns = edhec[,"CA"], evalShape = FALSE,
retVals = NULL,
IFplot = TRUE, IFprint = TRUE,
prewhiten = FALSE)
Nuisance Parameters Computation
Description
nuis.pars returns the value of the nuisance parameters used in the evaluation of the shape of influence functions for risk and performance measures.
Usage
nuisParsFn(mu = 0.01, sd = 0.05, c = 0, alpha = 0.1, beta = 0.1)
Arguments
mu |
Mean parameter. |
sd |
Standard deviation parameter. |
c |
Constant value for threshold. |
alpha |
Parameters for the lower tail quantile. |
beta |
Parameter for the upper tail quantile. |
Details
For further details on the usage of the nuisParsFn function, please refer to Section 3.1 for the RPEIF vignette.
Value
List of nuisance parameters.
Author(s)
Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca
Examples
# Nuisance parameters using default values
defaultNuisance <- nuisParsFn()
# Nuisance parameters using specified values
specifiedNuisance <- nuisParsFn(mu=0.02, sd=0.1, c=0.01, alpha=0.05, beta=0.1)