correlate_stochastics: Correlate Stochastics
In Houstonwp/AIRG: An R replication of the Academy's Interest Rate Generator
Description
Usage
Arguments
Value
Description
Takes an MxN matrix A of randomly generated values and multiplies by the cholesky of an NxN matrix X, a correlation matrix.
Usage
1
correlate_stochastics(stochastics, correlation)
Arguments
stochastics
A matrix
correlation
A square matrix with size the number of processes in the stochastic matrix.
Value
A MxN matrix of correlated stochastic random variables
Houstonwp/AIRG documentation built on Jan. 12, 2020, 8:10 p.m.
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Description Usage Arguments Value
Description
Takes an MxN matrix A of randomly generated values and multiplies by the cholesky of an NxN matrix X, a correlation matrix.
Usage
1 | correlate_stochastics(stochastics, correlation)
|
Arguments
stochastics |
A matrix |
correlation |
A square matrix with size the number of processes in the stochastic matrix. |
Value
A MxN matrix of correlated stochastic random variables
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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