Multivariate Outlier Explanations using Shapley Values and
Mahalanobis Distances
c(
person(given = "Marcus", family = "Mayrhofer", email = "marcus.mayrhofer@tuwien.ac.at", role = c("aut", "cre")),
person(given = "Peter", family = "Filzmoser", role = c("aut"))
)
Based on Shapley values to explain multivariate outlyingness and to detect and impute cellwise outliers.
Includes implementations of methods described in Mayrhofer and Filzmoser (2022) <doi:10.48550/ARXIV.2210.10063>.
dplyr, Rdpack, stats, tibble, tidyr, robustbase, forcats, egg,
ggplot2, gridExtra, RColorBrewer, magrittr
grDevices, cellWise, robustHD, tidyverse, knitr, MASS,
rmarkdown
Marcus Mayrhofer [aut, cre],
Peter Filzmoser [aut]

Shapley Value Regression for Relative Importance of Attributes
Shapley Value Regression for calculating the relative importance of independent variables in linear regression with avoiding the collinearity.

Shared Hotelling T2 test for small sample microarray experiments
Derives per gene means and fits the wishart/inverse wishart conjugate family to the per gene empirical covariance matrices.  Derives a Hotelling T2 statistic having an F-distribution using an empirical bayes variance.

Derives per gene means and fits the wishart/inverse wishart conjugate
family to the per gene empirical covariance matrices.  Derives a Hotelling T2
statistic having an F-distribution using an empirical bayes variance.

Statistical significance of Sharpe ratio
a collection of tools for analyzing significance of
trading strategies, based on the Sharpe ratio and overfit of
the same.
'distributions.r' 'estimation.r' 'SharpeR.r' 'sr.r' 'tests.r'
'utils.r'

a collection of tools for analyzing significance of trading
strategies, based on the Sharpe ratio and overfit of the same.

quantmod, MASS, TTR, testthat, sandwich, knitr

'utils.r' 'distributions.r' 'sr.r' 'estimation.r' 'SharpeR.r'
'tests.r' 'unified.r'

'distributions.r' 'estimation.r' 'SharpeR.r' 'sr.r' 'tests.r'
'unified.r' 'utils.r'

Statistical Significance of the Sharpe Ratio
A collection of tools for analyzing significance of trading
strategies, based on the Sharpe ratio and overfit of the same.
xtable, xts, quantmod, MASS, TTR, testthat, sandwich, knitr
'SharpeR.r' 'utils.r' 'distributions.r' 'sr.r' 'estimation.r'
'tests.r' 'unified.r'