Non-i.i.d. GSoC 2013 Shubhankit


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Documentation for package ‘noniid.sm’ version 0.1

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ACStdDev.annualized Autocorrleation adjusted Standard Deviation
CalmarRatio.Norm Normalized Calmar ratio
CDrawdown Chekhlov Conditional Drawdown at Risk
chart.AcarSim Acar-Shane Maximum Loss Plot
chart.Autocorrelation Stacked Bar Autocorrelation Plot
EmaxDDGBM Summary of Expected Drawdown using Brownian Motion Assumptions and Return-Volatility
glmi Fitting Generalized Linear Models with HC and HAC Covariance Matrix Estimators
GLMSmoothIndex GLM Index
lmi Fitting Generalized Linear Models with HC and HAC Covariance Matrix Estimators
LoSharpe Andrew Lo Sharpe Ratio
QP.Norm QP function for calculation of Sharpe Ratio
Return.Geltner GLM Index
Return.GLM GLM Return Model
Return.Okunev OW Return Model
sd.annualized Autocorrleation adjusted Standard Deviation
sd.multiperiod Autocorrleation adjusted Standard Deviation
se.LoSharpe Andrew Lo Sharpe Ratio Statistics
StdDev.annualized Autocorrleation adjusted Standard Deviation
SterlingRatio.Norm Normalized Sterling Ratio
table.ComparitiveReturn.GLM Compenent Decomposition of Table of Unsmooth Returns for GLM Model
table.EMaxDDGBM Summary of Expected Drawdown using Brownian Motion Assumptions and Return-Volatility
table.normDD Generalised Lambda Distribution Drawdown
table.Sharpe Sharpe Ratio Statistics Summary
table.UnsmoothReturn Table of Unsmooth Returns
UnsmoothReturn Unsmooth Time Series Return