[Returnanalytics-commits] r3955 - pkg/Dowd/R

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

Author: dacharya
Date: 2015-08-13 18:26:26 +0200 (Thu, 13 Aug 2015)
New Revision: 3955

Added:
   pkg/Dowd/R/tQuantileStandardError.R
Log:
Function tQuantileStandardError added.

Added: pkg/Dowd/R/tQuantileStandardError.R
===================================================================
--- pkg/Dowd/R/tQuantileStandardError.R	                        (rev 0)
+++ pkg/Dowd/R/tQuantileStandardError.R	2015-08-13 16:26:26 UTC (rev 3955)
@@ -0,0 +1,42 @@
+#' Standard error of t quantile estimate
+#'
+#' Estimates standard error of t quantile estimate
+#'  
+#' @param prob Tail probability. Can be a vector or scalar
+#' @param n Sample size
+#' @param mu Mean of the normal distribution
+#' @param sigma Standard deviation of the distribution
+#' @param df Number of degrees of freedom
+#' @param bin.size Bin size. It is optional parameter with default value 1
+#' @return Vector or scalar 
+#' depending on whether the probability is a vector
+#' or scalar
+#' 
+#' @references Dowd, K. Measuring Market Risk, Wiley, 2007.
+#'
+#' @author Dinesh Acharya
+#' @examples
+#' 
+#'    # Estimates standard error of normal quantile estimate
+#'    tQuantileStandardError(.8, 100, 0, .5, 5, 3)
+#'
+#' @export
+tQuantileStandardError <- function(prob, n, mu, sigma, df, bin.size){
+  # Check that inputs obey sign and value restrictions
+  if (prob < 0|prob>1) {
+    stop("Probability must be nonnegative and no greater than 1")
+  }
+  if (n <= 0){
+    stop("Sample size must be positive")
+  }
+  if (bin.size <= 0){
+    stop("Bin size must be greater than 0")
+  }
+  # Determination of frequency 
+  x <- mu + sigma * qt(prob, df)
+  z <- (x - mu)/sigma
+  freq <- pt((x + .5 * bin.size - mu) / sigma, df) - pt((x - 0.5 * bin.size - mu) / sigma, df)
+  #  Standard error estimation
+  y <- prob * (1 - prob) / (n * freq ^ 2) # Standard Error
+  return(y)
+}
\ No newline at end of file