Packaged: 2012-02-28 10:16:36 UTC; christian

Title: Fast, Exact Bootstrap Principal Component Analysis for High
Description: Implements fast, exact bootstrap Principal Component Analysis and
Singular Value Decompositions for high dimensional data, as described in
Packaged: 2014-07-21 20:05:34 UTC; aaronfisher

(arxiv.org/abs/1405.0922). For data matrices that are too large to operate
on in memory, users can input objects with class 'ff' (see the 'ff'
package), where the actual data is stored on disk. In response, this
package will implement a block matrix algebra procedure for calculating the
principal components (PCs) and bootstrap PCs. Depending on options set by
the user, the 'parallel' package can be used to parallelize the calculation of
Packaged: 2015-04-21 23:09:44 UTC; aaronfisher

<http://arxiv.org/abs/1405.0922>. For data matrices that are too large to operate
Packaged: 2015-06-01 14:22:16 UTC; aaronfisher

<doi:10.1080/01621459.2015.1062383> (see also <arXiv:1405.0922> ). For data matrices that are too large to operate
Packaged: 2021-02-01 22:28:49 UTC; aaronfisher

Description: Model selection by bootstrapping the stepAIC() procedure.
Packaged: Mon May  7 09:03:45 2007; dimitris

Packaged: Mon Jul 23 09:08:30 2007; dimitris

Packaged: Sun Sep 14 19:46:53 2008; Dimitris

Packaged: Mon Dec 15 10:08:36 2008; Dimitris

Title: Robust Performance Hypothesis Testing with the Sharpe Ratio
Authors@R: c(person("Michael", "Wolf", email = "michael.wolf@econ.uzh.ch", role = "aut"),
person("Oliver", "Ledoit", email = "olivier.ledoit@econ.uzh.ch", role = "aut"),
person("Aleksandar", "Spasojevic", email = "aleksandar.spasojevic@outlook.com", role = "cre"))
Description: Applied researchers often test for the difference of the Sharpe
ratios of two investment strategies. A very popular tool to this end is the test
of Jobson and Korkie, which has been corrected by Memmel. Unfortunately, this
test is not valid when returns have tails heavier than the normal distribution
or are of time series nature. Instead, we propose the use of robust inference
methods. In particular, we suggest to construct a studentized time series
bootstrap confidence interval for the difference of the Sharpe ratios and
to declare the two ratios different if zero is not contained in the obtained
interval. This approach has the advantage that one can simply resample from the
observed data as opposed to some null-restricted data.
Packaged: 2016-04-10 20:23:22 UTC; aleksandarspasojevic