Resample with replacement from a number of vectors; the sample will have a specified rank correlation.
1 |
... |
numeric vectors; they need not have the same length. |
size |
an integer: the number of samples to draw |
cormat |
the rank correlation matrix |
See Gilli, Maringer and Schumann (2011), Section 7.1.2. The function
samples with replacement from the vectors passed through
...
. The resulting samples will have an (approximate) rank
correlation as specified in cormat
.
The function uses the eigenvalue decomposition to generate the
correlation; it will not break down in case of a semidefinite
matrix. If an eigenvalue of cormat
is smaller than zero, a
warning is issued (but the function proceeds).
a numeric matrix with size
rows. The columns contain the
samples; hence, there will be as many columns as vectors passed
through ...
.
Enrico Schumann
Gilli, M., Maringer, D. and Schumann, E. (2011) Numerical Methods and Optimization in Finance. Elsevier. http://www.elsevierdirect.com/product.jsp?isbn=9780123756626
repairMatrix
1 2 3 4 5 6 7 8 9 10 11 |
Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.
All documentation is copyright its authors; we didn't write any of that.