parameter_definition {esback} | R Documentation |
Parameter Definitions
Description
Defines commonly used parameters.
Usage
parameter_definition(r, q, e, s, alpha, B)
Arguments
r |
A vector of returns. |
q |
A vector of Value-at-Risk forecasts. |
e |
A vector of Expected Shortfall forecasts. |
s |
A vector of volatility forecasts. |
alpha |
Scalar probability level in (0, 1). |
B |
Number of bootstrap samples. Set to 0 to disable bootstrapping. |
[Package esback version 0.3.1 Index]