genW: Generate correlated variables

In ArnaudBu/esg2: Esg Based on a G2++ Model

Description

genW generates different sets of centered normal distribution tables with specified correlations.

Usage

genW(correl, s = 1000, p = 50)

Arguments

correl	Matrix. Correlation matrix for the inputs.
s	Numeric. Number of simulation. Default to 1000.
p	Number of periods. Default to 50.

Value

An array of dimension s * p * dim(correl) corresponding to the simulations.

Examples

correl <- cbind(c(1,-0.9, 0.25, 0.25),c(-0.9,1, 0, 0), c(0.25, 0, 1, 0.25), c(0.25, 0, 0.25, 1))
varCor <- genW(correl, 1000, 50)

ArnaudBu/esg2 documentation built on Oct. 20, 2021, 10:01 a.m.