[Returnanalytics-commits] r3866 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-07-28 10:18:20 +0200 (Tue, 28 Jul 2015)
New Revision: 3866

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

Added: pkg/Dowd/man/tESDFPerc.Rd
===================================================================
--- pkg/Dowd/man/tESDFPerc.Rd	                        (rev 0)
+++ pkg/Dowd/man/tESDFPerc.Rd	2015-07-28 08:18:20 UTC (rev 3866)
@@ -0,0 +1,54 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/tESDFPerc.R
+\name{tESDFPerc}
+\alias{tESDFPerc}
+\title{Percentiles of ES distribution function for t-distributed  P/L}
+\usage{
+tESDFPerc(...)
+}
+\arguments{
+\item{...}{The input arguments contain either return data or else mean and
+standard deviation data. Accordingly, number of input arguments is either 5
+or 7. In case there 5 input arguments, the mean, standard deviation and assumed sampel size of
+data is computed from return data. See examples for details.
+
+ returns Vector of daily geometric return data
+
+ mu Mean of daily geometric return data
+
+ sigma Standard deviation of daily geometric return data
+
+ n Sample size
+
+ df Degrees of freedom
+
+ perc Desired percentile
+
+ df Number of degrees of freedom in the t distribution
+
+ cl ES confidence level and must be a scalar
+
+ hp ES holding period and must be a a scalar}
+}
+\value{
+Percentiles of ES distribution function
+}
+\description{
+Estimates percentiles of ES distribution function for t-distributed P/L,
+using the theory of order statistics
+}
+\examples{
+# Estimates Percentiles of ES distribution given P/L data
+   data <- runif(5, min = 0, max = .2)
+   tESDFPerc(returns = data, perc = .7, df = 6, cl = .95, hp = 60)
+
+   # Estimates Percentiles of ES distribution given mean, std. deviation and sample size
+   tESDFPerc(mu = .012, sigma = .03, n= 10, perc = .8, df = 6, cl = .99, hp = 40)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+