GSoC2017: Improved functionality for higher order comoment estimation in PerformanceAnalytics.
PerformanceAnalytics provides an R package of econometric functions
for performance and risk analysis of financial instruments or portfolios.
The package aims to aid practitioners and researchers in using the latest research for
analysis of both normally and non-normally distributed return streams.
In this project we improved the functionality of the existing coskewness and cokurtosis estimation methods. Additionally, we added state-of-the-art alternative estimatino techniques. For more detail, see https://cdries.github.io/GSoC2017/.