[Returnanalytics-commits] r3654 - pkg/Dowd

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

Author: dacharya
Date: 2015-05-27 18:59:26 +0200 (Wed, 27 May 2015)
New Revision: 3654

Added:
   pkg/Dowd/readme.txt
Log:
readme file added.

Added: pkg/Dowd/readme.txt
===================================================================
--- pkg/Dowd/readme.txt	                        (rev 0)
+++ pkg/Dowd/readme.txt	2015-05-27 16:59:26 UTC (rev 3654)
@@ -0,0 +1,17 @@
+#***************************************************************
+# Jarque-Bera Test:
+# It has to be checked Probability of null (H0) or (H1).
+# (http://stats.stackexchange.com/questions/130368/why-do-i-get-this-p-value-doing-the-jarque-bera-test-in-r)
+#***************************************************************
+# 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