simMultivariates: Multivariate Normal from historical dataset

View source: R/simMultivariates.R

simMultivariatesR 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

Author(s)

Philippe Cote

Examples

simMultivariates(nsims = 10, x = RTL::fizdiffs, s0 = NULL)

RTL documentation built on June 17, 2022, 5:06 p.m.