Description Usage Arguments Details Value Author(s) References
Step 2 of projection process: From the central moments of step 1, we compute the non-central moments. To do so we start with the first non-central moment and apply recursively an identity (formula 20)
1 | Central2Raw(mu)
|
mu |
: [vector] (length N corresponding to order N) central moments |
\tilde{ μ }^{ \big(1\big) }_{X} \equiv μ ^{\big(1\big)}_{X} \\ \tilde{ μ }^{ \big(n\big) }_{X} \equiv μ ^{n}_{X} ∑_{k=0}^{n-1} \big(-1\big)^{n-k+1} μ ^{n-k}_{X} \tilde{ μ }^{\big(k\big)}_{X}
mu_ : [vector] (length N corresponding to order N) corresponding raw moments
Ram Ahluwalia rahluwalia@gmail.com
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170, "E 16- Raw moments to central moments".
See Meucci's script for "Central2Raw.m"
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