CMAcombination: CMA combination. Glues an arbitrary copula and arbitrary...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
The combination step starts from arbitrary marginal
distributions, and grades distributed according to a
chosen arbitrary copula which can, but does not need to,
be obtained by seperation. Then this function combines
the marginals and copula into a new joint distribution.
Usage
1
CMAcombination(x, u, U)
Arguments
x
a generic x variable. Note: Linearly spaced 'x'
help for coverage when performing linear interpolation
u
The value of the cumulative density function
associated with x (parametric or non-parametric)
U
an aribtrary copula. Can take any copula
obtained with the separation step (i.e. a set of
scenario-probabilities)
Value
X a J x N matrix containing the new joint distribution
based on the arbitrary copula 'U'
Author(s)
Ram Ahluwalia rahluwalia@gmail.com
References
Meucci A., "New Breed of Copulas for Risk and Portfolio
Management", Risk, September 2011 Most recent version of
article and code available at
http://www.symmys.com/node/335
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Value Author(s) References
Description
The combination step starts from arbitrary marginal distributions, and grades distributed according to a chosen arbitrary copula which can, but does not need to, be obtained by seperation. Then this function combines the marginals and copula into a new joint distribution.
Usage
1 | CMAcombination(x, u, U)
|
Arguments
x |
a generic x variable. Note: Linearly spaced 'x' help for coverage when performing linear interpolation |
u |
The value of the cumulative density function associated with x (parametric or non-parametric) |
U |
an aribtrary copula. Can take any copula obtained with the separation step (i.e. a set of scenario-probabilities) |
Value
X a J x N matrix containing the new joint distribution based on the arbitrary copula 'U'
Author(s)
Ram Ahluwalia rahluwalia@gmail.com
References
Meucci A., "New Breed of Copulas for Risk and Portfolio Management", Risk, September 2011 Most recent version of article and code available at http://www.symmys.com/node/335
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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