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

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