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Quasi-Monte-Carlo algorithm for systematic generation of shock scenarios from an arbitrary multivariate elliptical distribution. The algorithm selects a systematic mesh of arbitrary fineness that approximately evenly covers an isoprobability ellipsoid in d dimensions (Flood, Mark D. & Korenko, George G. (2013) <doi:10.1080/14697688.2014.926018>). This package is the 'R' analogy to the 'Matlab' code published by Flood & Korenko in above-mentioned paper.
Package details |
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Author | Merlin Kopfmann |
Maintainer | Merlin Kopfmann <mghncd+cran@posteo.jp> |
License | CC0 |
Version | 1.0.2 |
Package repository | View on CRAN |
Installation |
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