[Returnanalytics-commits] r3964 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-08-16 14:31:05 +0200 (Sun, 16 Aug 2015)
New Revision: 3964

Added:
   pkg/Dowd/man/BoxCoxVaR.Rd
Log:
Function BoxCoxVaR added.

Added: pkg/Dowd/man/BoxCoxVaR.Rd
===================================================================
--- pkg/Dowd/man/BoxCoxVaR.Rd	                        (rev 0)
+++ pkg/Dowd/man/BoxCoxVaR.Rd	2015-08-16 12:31:05 UTC (rev 3964)
@@ -0,0 +1,38 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/BoxCoxVaR.R
+\name{BoxCoxVaR}
+\alias{BoxCoxVaR}
+\title{Estimates VaR with Box-Cox transformation}
+\usage{
+BoxCoxVaR(PandLdata, cl)
+}
+\arguments{
+\item{PandLdata}{Daily Profit/Loss data}
+
+\item{cl}{Confidence Level. It can be a scalar or a vector.}
+}
+\value{
+Estimated Box-Cox VaR. Its dimension is same as that of cl
+}
+\description{
+Function estimates the VaR of a portfolio assuming P and L data set transformed
+using the BoxCox transformation to make it as near normal as possible, for
+specified confidence level and holding period implied by data frequency.
+}
+\examples{
+# Estimates Box-Cox VaR
+   a<-rnorm(100)
+   BoxCoxVaR(a,.95)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+
+Hamilton, S. A. and Taylor, M. G. A Comparision of the Box-Cox
+transformation method and nonparametric methods for estimating quantiles
+in clinical data with repeated measures. J. Statist. Comput. Simul., vol.
+45, 1993, pp. 185 - 201.
+}
+