IF.robMean {RPEIF}

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, [e-mail]

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)