# Resample with Specified Rank Correlation

### Description

Resample with replacement from a number of vectors; the sample will have a specified rank correlation.

### Usage

1 | ```
resampleC(..., size, cormat)
``` |

### Arguments

`...` |
numeric vectors; they need not have the same length. |

`size` |
an integer: the number of samples to draw |

`cormat` |
the rank correlation matrix |

### Details

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).

### Value

a numeric matrix with `size`

rows. The columns contain the
samples; hence, there will be as many columns as vectors passed
through `...`

.

### Author(s)

Enrico Schumann

### References

Gilli, M., Maringer, D. and Schumann, E. (2011) *Numerical
Methods and Optimization in Finance*. Elsevier.
http://www.elsevierdirect.com/product.jsp?isbn=9780123756626

### See Also

`repairMatrix`

### Examples

1 2 3 4 5 6 7 8 9 10 11 |

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker. Vote for new features on Trello.