Computing a New Informative Distribution Set of Asset Returns
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Documentation for package ‘INFOSET’ version 4.0.6
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| asset.label | Data for clustering and labeling ETFs |
| g_ret | Function to compute gross returns. |
| infoset | Procedure to find the most-left distribution set. |
| sample.data | Data for infoset function |
| sample.data.ts | Data with time points for portfolio construction using the LR_cp measure |
| tail_mixture | Function to find the most-left distribution set. |