GenerateUniformDrawsOnUnitSphere: Generate a uniform sample on the unit hypersphere.
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Note
Author(s)
References
Description
Generate a uniform sample on the unit hypersphere, as
described in A. Meucci, "Risk and Asset Allocation",
Springer, 2005.
Usage
1
Arguments
J
: [scalar] number of draws
N
: [scalar] dimension
Value
X : [matrix] (T x N) of draws
Note
Initial MATLAB's script by Xiaoyu Wang - Dec 2006
We decompose X=U*R, where U is a uniform distribution on
unit sphere and
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio
Management" http://symmys.com/node/170. See
Meucci's script for "GenerateUniformDrawsOnUnitSphere.m"
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Value Note Author(s) References
Description
Generate a uniform sample on the unit hypersphere, as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005.
Usage
1 |
Arguments
J |
: [scalar] number of draws |
N |
: [scalar] dimension |
Value
X : [matrix] (T x N) of draws
Note
Initial MATLAB's script by Xiaoyu Wang - Dec 2006
We decompose X=U*R, where U is a uniform distribution on unit sphere and
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170. See Meucci's script for "GenerateUniformDrawsOnUnitSphere.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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