RPEIF

Authors Anthony Christidis, Shengyu Zhang, Douglas Martin

Last update 17 December 2025

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 1.2.4, PACKAGES.rds, 1.0.1, 1.0.2, 1.0.3, 1.0.5, 1.0.6, 1.0.7, 1.0.8, 1.0, 1.1.0, 1.2.0, 1.2.1, 1.2.2, 1.2.3, 1.2.5

Description

Computes the influence functions time series of the returns for the risk and performance measures as mentioned in Chen and Martin (2018) <https://www.ssrn.com/abstract=3085672>, as well as in Zhang et al. (2019) <https://www.ssrn.com/abstract=3415903>. Also evaluates estimators influence functions at a set of parameter values and plots them to display the shapes of the influence functions.

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