LeastInfoKernel: Computes least information kernel smoothing
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
This script uses Entropy Pooling to compute least
information kernel smoothing, as described in A. Meucci,
"Personalized Risk Management: Historical Scenarios with
Fully Flexible Probabilities" GARP Risk Professional, Dec
2010, p 47-51
Usage
1
LeastInfoKernel(Y, y, h2)
Arguments
Y
Matrix representing the macroeconomic indicator
y
scalar reprenting the target to which Y is
expected to be close in the Generalized Empirical
Distribution
h2
N X N matrix
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 "LeastInfoKernel.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 script uses Entropy Pooling to compute least information kernel smoothing, as described in A. Meucci, "Personalized Risk Management: Historical Scenarios with Fully Flexible Probabilities" GARP Risk Professional, Dec 2010, p 47-51
Usage
1 | LeastInfoKernel(Y, y, h2)
|
Arguments
Y |
Matrix representing the macroeconomic indicator |
y |
scalar reprenting the target to which Y is expected to be close in the Generalized Empirical Distribution |
h2 |
N X N matrix |
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 "LeastInfoKernel.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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