SyScSelection: Systematic Scenario Selection for Stress Testing

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

AuthorMerlin Kopfmann
MaintainerMerlin Kopfmann <>
Package repositoryView on CRAN
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SyScSelection documentation built on Oct. 26, 2020, 5:08 p.m.