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 <brian at braverock.com>

Author(s): Brian G. Peterson*, Peter Carl*, Kris Boudt*, Ross Bennett*, Joshua Ulrich*, Eric Zivot*, Matthieu Lestel*, Kyle Balkissoon*, Diethelm Wuertz*

Install package and any missing dependencies by running this line in your R console:

install.packages("PerformanceAnalytics")

Depends R (>= 3.0.0), xts(>=0.9)
Imports zoo
Suggests Hmisc, MASS, quantmod, gamlss, gamlss.dist, robustbase, quantreg, gplots
Enhances
Linking to
Reverse
depends
PortfolioAnalytics, tidyquant
Reverse
imports
SMNCensReg, tawny, tbl2xts
Reverse
suggests
Dowd, ExtDist, pbo, timeSeries
Reverse
enhances
Reverse
linking to

Package PerformanceAnalytics
Materials
URL http://r-forge.r-project.org/projects/returnanalytics/
Task Views Finance
Version 1.4.3541
Published 2014-09-16
License GPL-2 | GPL-3
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks PerformanceAnalytics check results
Package source PerformanceAnalytics_1.4.3541.tar.gz