LognormalCopulaPdf: Computes the pdf of the copula of the lognormal distribution...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
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.
Usage
1
LognormalCopulaPdf(u, Mu, Sigma)
Arguments
u
[vector] (J x 1) grades
Mu
[vector] (N x 1) location parameter
Sigma
[matrix] (N x N) scatter parameter
Value
F_U [vector] (J x 1) PDF values
Author(s)
Xavier Valls flamejat@gmail.com
References
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"
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
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.
Usage
1 | LognormalCopulaPdf(u, Mu, Sigma)
|
Arguments
u |
[vector] (J x 1) grades |
Mu |
[vector] (N x 1) location parameter |
Sigma |
[matrix] (N x N) scatter parameter |
Value
F_U [vector] (J x 1) PDF values
Author(s)
Xavier Valls flamejat@gmail.com
References
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"
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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