* Fix typo in parameter documentation.

* Don't require parameter "q" in esr_backtest when backtest version is 1 or 3.

DESCRIPTION

@@ -1,8 +1,8 @@
 Package: esback
 Type: Package
 Title: Expected Shortfall Backtesting
-Version: 0.2.1
-Date: 2020-01-20
+Version: 0.2.2
+Date: 2020-05-01
 Authors@R: c(person('Sebastian', 'Bayer', email='[email protected]', role=c('aut', 'cre')), 
              person('Timo', 'Dimitriadis', email='[email protected]', role='aut'))
 Description: Backtests forecasts of the expected shortfall risk measure, see Bayer and Dimitriadis (2019) <arXiv:1801.04112>.
@@ -11,4 +11,4 @@ Encoding: UTF-8
 LazyData: true
 Depends: R(>= 2.10.0)
 Imports: esreg
-RoxygenNote: 7.0.2
+RoxygenNote: 7.1.0

NEWS.md

@@ -1,3 +1,7 @@
+# 0.2.2 [2020-05-01]
+* Fix typo in parameter documentation.
+* Don't require parameter "q" in esr_backtest when backtest version is 1 or 3.
+
 # 0.2.1
 * Adjust estimation of the intercept ESR backtest
 

R/backtest_functions.R

@@ -166,7 +166,15 @@ cc_backtest <- function(r, q, e, s=NULL, alpha, hommel=TRUE) {
 #' @md
 esr_backtest <- function(r, q, e, alpha, version, B = 0,
                          cov_config=list(sparsity='nid', sigma_est='scl_sp', misspec=TRUE)) {
-  data <- data.frame(r = r, q = q, e = e)
+  if (missing(q) & version %in% c(2)) {
+    stop('You need to supply VaR forecast `q` for backtest version ', version)
+  }
+
+  if (missing(q)) {
+    data <- data.frame(r = r, e = e)
+  } else {
+    data <- data.frame(r = r, q = q, e = e)
+  }
 
   # Set the details for the selected version of the backtest
   if (version == 1) {

R/utility_functions.R

@@ -2,11 +2,11 @@
 #'
 #' Defines commonly used parameters.
 #'
-#' @param r A vector of returns
-#' @param q A vector of expected shortfall forecasts
-#' @param e A vector of Value-at-Risk forecasts
-#' @param s A vector of volatility forecasts
-#' @param alpha Scalar probability level in (0, 1)
+#' @param r A vector of returns.
+#' @param q A vector of Value-at-Risk forecasts.
+#' @param e A vector of Expected Shortfall forecasts.
+#' @param s A vector of volatility forecasts.
+#' @param alpha Scalar probability level in (0, 1).
 #' @param B Number of bootstrap samples. Set to 0 to disable bootstrapping.
 #' @keywords internal
 parameter_definition <- function(r, q, e, s, alpha) {}

README.md

@@ -1,7 +1,7 @@
 # esback
 
-The esback can be used to [backtest](https://en.wikipedia.org/wiki/Backtesting)
-[expected shortfall](https://en.wikipedia.org/wiki/Expected_shortfall) forecasts.
+The esback can be used to [backtest](https://en.wikipedia.org/wiki/Backtesting) forecasts of the
+[expected shortfall](https://en.wikipedia.org/wiki/Expected_shortfall) risk measure.
 
 ## Installation
 
@@ -19,7 +19,7 @@ You can install the development version using these commands:
 
 ## Implemented Backtests
 
-These backtests are implemented:
+This packahed implements the following backtests:
 
 * Expected Shortfall Regression Backtest ([Bayer & Dimitriadis, 2019])
 * Exceedance Residuals Backtest ([McNeil & Frey, 2000])