Description Usage Arguments Value Author(s) References
Computes the pdf of the copula of the lognormal distribution at the generic point u in the unit hypercube, as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005.
1 | LognormalCopulaPdf(u, Mu, Sigma)
|
u |
[vector] (J x 1) grades |
Mu |
[vector] (N x 1) location parameter |
Sigma |
[matrix] (N x N) scatter parameter |
F_U [vector] (J x 1) PDF values
Xavier Valls flamejat@gmail.com
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170, "E 36 - Pdf of the lognormal copula".
See Meucci's script for "LognormalCopulaPdf.m"
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