Fit2Moms: Uses Entropy Pooling to compute a double-decay covariance...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
This function uses Entropy Pooling to compute a
double-decay covariance matrix, as described in A.
Meucci, "Personalized Risk Management: Historical
Scenarios with Fully Flexible Probabilities" GARP Risk
Professional, Dec 2010, p 47-51
Usage
1
Fit2Moms(X, m, S)
Arguments
X
matrix representing the risk drivers.
m
matrix of zeros, representing the expectation of
the risk drivers.
S
matrix representing the double-decay estimation
for the correlation matrix of the risk drivers.
Value
p list containing the vector of posterior probabilities
and information about the optimization performance.
Author(s)
Xavier Valls flamejat@gmail.com
References
http://www.symmys.com/node/150 See Meucci script
for "S_MainFullFlexProbs.m"
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
This function uses Entropy Pooling to compute a double-decay covariance matrix, as described in A. Meucci, "Personalized Risk Management: Historical Scenarios with Fully Flexible Probabilities" GARP Risk Professional, Dec 2010, p 47-51
Usage
1 | Fit2Moms(X, m, S)
|
Arguments
X |
matrix representing the risk drivers. |
m |
matrix of zeros, representing the expectation of the risk drivers. |
S |
matrix representing the double-decay estimation for the correlation matrix of the risk drivers. |
Value
p list containing the vector of posterior probabilities and information about the optimization performance.
Author(s)
Xavier Valls flamejat@gmail.com
References
http://www.symmys.com/node/150 See Meucci script for "S_MainFullFlexProbs.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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