This package provides functions for computing standared error estimates for risk and performance measures of asset or portfolio returns.
You can install the stable version on R CRAN.
install.packages("RPESE", dependencies = TRUE)
You can install the development version from GitHub.
library(devtools)
::install_github("AnthonyChristidis/RPESE") devtools
# Sample Code
library(RPESE)
# Loading hedge fund data
data(edhec, package = "PerformanceAnalytics")
colnames(edhec) = c("CA", "CTAG", "DIS", "EM","EMN", "ED", "FIA",
"GM", "LS", "MA", "RV", "SS", "FoF")
# Computing the standard errors for the three influence functions based approaches
<- ES.SE(edhec, se.method = c("IFiid","IFcor","IFcorPW"),
ES.out cleanOutliers = TRUE,
fitting.method = c("Exponential", "Gamma")[1])
# Print output
printSE(ES.out)
This package is free and open source software, licensed under GPL (>= 2).