fit_to_moments: Double-Decay Covariance Matrix by Entropy-Pooling

In ffp: Fully Flexible Probabilities for Stress Testing and Portfolio Construction

Double-Decay Covariance Matrix by Entropy-Pooling

Description

Internal function that computes the flexible probabilities given by double-decay covariance matrix.

Usage

fit_to_moments(X, m, S)

Arguments

X	A matrix of size TxN with relevant the risk drivers.
m	A matrix of size Nx1 given by Double_Decay with risk drivers location.
S	A matrix of size NxN given by Double_Decay with the dispersion matrix of the risk drivers.

Value

A matrix vector with the posterior probabilities.

ffp documentation built on Sept. 29, 2022, 5:10 p.m.