MvnRnd: Generate normal simulations whose sample moments match the...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
Generate normal simulations whose sample moments match
the population moments, as described in A. Meucci, "Risk
and Asset Allocation", Springer, 2005.
Usage
1
MvnRnd(M, S, J)
Arguments
M
: [vector] (N x 1) expectation
S
: [matrix] (N x N) covariance matrix
J
: [scalar] number of draws (even number)
Value
X : [matrix] (J x N) of drawsF_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 64 -
Simulation of a multivariate normal random variable with
matching moments".
See Meucci's script for "MvnRnd.m".
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.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.
Description Usage Arguments Value Author(s) References
Description
Generate normal simulations whose sample moments match the population moments, as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005.
Usage
1 | MvnRnd(M, S, J)
|
Arguments
M |
: [vector] (N x 1) expectation |
S |
: [matrix] (N x N) covariance matrix |
J |
: [scalar] number of draws (even number) |
Value
X : [matrix] (J x N) of drawsF_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 64 - Simulation of a multivariate normal random variable with matching moments".
See Meucci's script for "MvnRnd.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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.