create_scenario: Create Stressed Scenarios

In FARS: Factor-Augmented Regression Scenarios

Create Stressed Scenarios

Description

Constructs hyperellipsoids around MLDFM factor estimates using subsampling. These regions capture estimation uncertainty and allow for the simulation of stressed scenarios.

Usage

create_scenario(model, subsamples, alpha = 0.95, fpr = FALSE)

Arguments

model	An object of class mldfm, containing the factor estimates.
subsamples	An object of class mldfm_subsample, returned by mldfm_subsampling.
alpha	Numeric. Confidence level for the hyperellipsoids (e.g., 0.95).
fpr	Logical. If TRUE, uses FPR Gamma (Fresoli, Poncela, Ruiz, 2024); otherwise, uses standard time-varying Gamma.

Value

An object of class fars_scenario, which is a list containing:

ellipsoids

List of matrices defining the hyperellipsoids at each time.

center

Matrix of factor estimates (centers of the ellipsoids).

sigma

List of covariance matrices used to define the ellipsoids.

periods

Number of time observations.

n_points

Number of points used to define each ellipsoid.

alpha

Confidence level for the hyperellipsoids.

call

Function call.

Examples

data <- matrix(rnorm(100*300), nrow = 100, ncol = 300)
block_ind <- c(150, 300)  
global = 1
local <- c(1, 1)   
mldfm_result <- mldfm(data, blocks = 2, block_ind = block_ind, 
global = global, local = local)
mldfm_subsampling_result <- mldfm_subsampling(data, blocks = 2, 
block_ind = block_ind, global = global, 
local = local, n_samples = 100, sample_size = 0.9)
scenario <- create_scenario(mldfm_result, mldfm_subsampling_result, 
alpha = 0.95)

FARS documentation built on Feb. 17, 2026, 5:06 p.m.