PerformanceAnalytics (1.4.3541)

7 users

Econometric tools for performance and risk analysis.

http://r-forge.r-project.org/projects/returnanalytics/
http://cran.r-project.org/web/packages/PerformanceAnalytics

Collection of econometric functions for performance and risk analysis. This package aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams. In general, it is most tested on return (rather than price) data on a regular scale, but most functions will work with irregular return data as well, and increasing numbers of functions will work with P&L or price data where possible.

Maintainer: Brian G. Peterson
Author(s): Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb], Joshua Ulrich [ctb], Eric Zivot [ctb], Matthieu Lestel [ctb], Kyle Balkissoon [ctb], Diethelm Wuertz [ctb]

License: GPL-2 | GPL-3

Uses: xts, zoo, Hmisc, gamlss.dist, gamlss, gplots, quantmod, quantreg, robustbase, MASS
Reverse depends: PortfolioAnalytics, tawny, tidyquant
Reverse suggests: Dowd, ExtDist, tawny, timeSeries

Released about 3 years ago.


10 previous versions

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  3.8/5 (5 votes)

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  3.8/5 (5 votes)

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