[Returnanalytics-commits] r3685 - pkg/Dowd

[noreply at r-forge.r-project.org]

Author: dacharya
Date: 2015-06-22 13:13:17 +0200 (Mon, 22 Jun 2015)
New Revision: 3685

Added:
   pkg/Dowd/README
Log:
File name made appropriate as per package structure.

Added: pkg/Dowd/README
===================================================================
--- pkg/Dowd/README	                        (rev 0)
+++ pkg/Dowd/README	2015-06-22 11:13:17 UTC (rev 3685)
@@ -0,0 +1,28 @@
+#
+# General Notes for Modification: 
+#***************************************************************
+# FrechetVaR does not use hp and the remark about return value when it is vector is vaccuous.
+#***************************************************************
+# In Normal/t QQ Plots, dowd code does not work for matrices but the code contains parts that
+# work for matrices. some vectors like pvec are not defined anywhere in his code.
+#***************************************************************
+# Some error is present in GumbelCopulaVaR and needs correction
+#***************************************************************
+# Bootstrap is functional (but HSVaR still does not accept matrix P/L
+# and only still accepts vectors, its needs to be modified)
+#***************************************************************
+# Jarque-Bera Test:
+# It has to be checked Probability of null (H0) or (H1).
+#***************************************************************
+# Christofferson Backtest for Independence:
+# VaR(excess_loss<=0)=[]; Does not make sense. It is still to be checked if it is as intended.
+# if(excess.loss[i-1]<=0) if condition incomplete statement.
+#***************************************************************
+# Tests/Examples for profit.loss distribution and corresponding VaR and ETL
+# still needs to be completed. Around 4 in Backtest do not have examples.
+# It still has to be completed.
+#***************************************************************
+# Lopez Backtest:
+# In Christofferson , excess.loss is defined as -profit.loss-VaR
+# But in Lopez Backtest, profit.loss-VaR is used. It has to be checked.
+#***************************************************************
\ No newline at end of file