NormalCopulaPdf: Computes the pdf of the copula of the normal distribution at...
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 normal distribution
at the generic point u in the unit hypercube, as
described in A. Meucci, "Risk and Asset Allocation",
Springer, 2005.
Usage
1
NormalCopulaPdf(u, Mu, Sigma)
Arguments
u
[vector] (J x 1) grade
Mu
[vector] (N x 1) mean
Sigma
[matrix] (N x N) covariance
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 33 - Pdf
of the normal copula".
See Meucci's script for "NormalCopulaPdf.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 normal distribution at the generic point u in the unit hypercube, as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005.
Usage
1 | NormalCopulaPdf(u, Mu, Sigma)
|
Arguments
u |
[vector] (J x 1) grade |
Mu |
[vector] (N x 1) mean |
Sigma |
[matrix] (N x N) covariance |
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 33 - Pdf of the normal copula".
See Meucci's script for "NormalCopulaPdf.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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