Compute Robust Estimates from Bootstrap Outputs

Computes various robust estimators (mean, median, winsorized mean, conservative quantile) from bootstrap functional outputs.

Usage

compute_robust_estimates(
  func_outs,
  names = NULL,
  point_est = NULL,
  trim = 0.1,
  conservative_quantile = 0.25
)

Arguments

func_outs

List of functional outputs from tsbs(), or a matrix.

names

Optional character vector of names for output dimensions.

point_est

Optional numeric vector of point estimates to include in the comparison.

trim

Trim proportion for winsorized mean. Defaults to 0.1.

conservative_quantile

Quantile for conservative estimate. Defaults to 0.25.

Value

A data frame with columns for each robust estimator.

Details

This function computes:

• Point: Original point estimate (if provided)

• Boot_Mean: Bootstrap mean

• Boot_Median: Bootstrap median

• Winsorized: Winsorized mean (trimmed mean)

• Conservative: Lower quantile estimate

For portfolio weights, the conservative estimate is renormalized to sum to 1.