Central2Raw: Transforms first n central moments into first n raw moments...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Details
Value
Author(s)
References
Description
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)
Usage
1
Central2Raw(mu)
Arguments
mu
: [vector] (length N corresponding to order N)
central moments
Details
\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}
Value
mu_ : [vector] (length N corresponding to order N)
corresponding raw moments
Author(s)
Ram Ahluwalia rahluwalia@gmail.com
References
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"
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Details Value Author(s) References
Description
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)
Usage
1 | Central2Raw(mu)
|
Arguments
mu |
: [vector] (length N corresponding to order N) central moments |
Details
\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}
Value
mu_ : [vector] (length N corresponding to order N) corresponding raw moments
Author(s)
Ram Ahluwalia rahluwalia@gmail.com
References
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"
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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