Cumul2Raw: Map cumulative moments into 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 5 of the projection process:
Usage
1
Cumul2Raw(ka)
Arguments
ka
: [vector] (length N corresponding to order N)
cumulative moments
Details
From the cumulants of Y we compute the raw non-central
moments of Y
We do so recursively by the identity in formula (24)
which follows from applying (21) and re-arranging terms
\tilde{ μ } ^{ \big(n\big) }_{Y} \equiv κ^{
\big(n\big) }_{Y} + ∑_{k=1}^{n-1} (n-1)C_{k-1}
κ_{Y}^{ \big(k\big) } \tilde{ μ } ^{n-k}_{Y}
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. See
Meucci's script for "Cumul2Raw.m".
A. Meucci - "Annualization and General Projection of
Skewness, Kurtosis and All Summary Statistics" - formula
(24) http://www.symmys.com/node/136
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.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.
Description Usage Arguments Details Value Author(s) References
Description
Step 5 of the projection process:
Usage
1 | Cumul2Raw(ka)
|
Arguments
ka |
: [vector] (length N corresponding to order N) cumulative moments |
Details
From the cumulants of Y we compute the raw non-central moments of Y
We do so recursively by the identity in formula (24) which follows from applying (21) and re-arranging terms
\tilde{ μ } ^{ \big(n\big) }_{Y} \equiv κ^{ \big(n\big) }_{Y} + ∑_{k=1}^{n-1} (n-1)C_{k-1} κ_{Y}^{ \big(k\big) } \tilde{ μ } ^{n-k}_{Y}
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. See Meucci's script for "Cumul2Raw.m".
A. Meucci - "Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics" - formula (24) http://www.symmys.com/node/136
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.