LPM.VaR {NNS} | R Documentation |
Generates a value at risk (VaR) quantile based on the Lower Partial Moment ratio.
LPM.VaR(percentile, degree, x)
percentile |
numeric [0, 1]; The percentile for left-tail VaR (vectorized). |
degree |
integer; |
x |
a numeric vector. |
Returns a numeric value representing the point at which "percentile"
of the area of x
is below.
Fred Viole, OVVO Financial Systems
Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" https://www.amazon.com/dp/1490523995/ref=cm_sw_su_dp
set.seed(123) x <- rnorm(100) ## For 5th percentile, left-tail LPM.VaR(0.05, 0, x)