simMultivariates: Multivariate normal from historical dataset
In RTL: Risk Tool Library - Trading, Risk, 'Analytics' for Commodities
View source: R/simMultivariates.R
simMultivariates R Documentation
Multivariate normal from historical dataset
Description
Generates multivariate random epsilons using absolute returns.
Usage
simMultivariates(nsims = 10, x, s0 = NULL)
Arguments
nsims
Number of simulations. Defaults to 10. numeric
x
Wide data frame of prices with date as first column. tibble
s0
Vector of starting value for each variables. Defaults to NULL with zero. numeric
Value
List of means, sds, covariance matrix, correlation matrix and simulated values. list
Author(s)
Philippe Cote
Examples
simMultivariates(nsims = 10, x = RTL::fizdiffs, s0 = NULL)
RTL documentation built on Oct. 21, 2023, 1:06 a.m.
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View source: R/simMultivariates.R
| simMultivariates | R Documentation |
Multivariate normal from historical dataset
Description
Generates multivariate random epsilons using absolute returns.
Usage
simMultivariates(nsims = 10, x, s0 = NULL)
Arguments
nsims |
Number of simulations. Defaults to 10. |
x |
Wide data frame of prices with date as first column. |
s0 |
Vector of starting value for each variables. Defaults to NULL with zero. |
Value
List of means, sds, covariance matrix, correlation matrix and simulated values. list
Author(s)
Philippe Cote
Examples
simMultivariates(nsims = 10, x = RTL::fizdiffs, s0 = NULL)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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