[Returnanalytics-commits] r3958 - pkg/Dowd/R

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

Author: dacharya
Date: 2015-08-13 18:36:08 +0200 (Thu, 13 Aug 2015)
New Revision: 3958

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

Added: pkg/Dowd/R/NormalQuantileStandardError.R
===================================================================
--- pkg/Dowd/R/NormalQuantileStandardError.R	                        (rev 0)
+++ pkg/Dowd/R/NormalQuantileStandardError.R	2015-08-13 16:36:08 UTC (rev 3958)
@@ -0,0 +1,39 @@
+#' Standard error of normal quantile estimate
+#'
+#' Estimates standard error of normal 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 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
+#'    NormalQuantileStandardError(.8, 100, 0, .5, 3)
+#'
+#' @export
+NormalQuantileStandardError <- function(prob, n, mu, sigma, 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 <- qnorm(prob, mu, sigma)
+  freq <- pnorm(x+.5*bin.size,mu,sigma) - pnorm(x - 0.5*bin.size, mu, sigma)
+  y <- sqrt(prob*(1 - prob)/(n*freq^2)) # Standard Error
+  return(y)
+}
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