PerformIidAnalysis: Performs simple invariance (i.i.d.) tests on a time series.

In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.

Description

This function performs simple invariance (i.i.d.) tests on a time series, as described in A. Meucci "Risk and Asset Allocation", Springer, 2005

Usage

  PerformIidAnalysis(Dates = dim(Data)[1], Data, Str = "")

Arguments

Dates	: [vector] (T x 1) dates
Data	: [matrix] (T x N) data
Str	: [string] title for the plot

Note

it checks the evolution over time

it checks that the variables are identically distributed by looking at the histogram of two subsamples

it checks that the variables are independent by looking at the 1-lag scatter plot

under i.i.d. the location-dispersion ellipsoid should be a circle

Author(s)

Xavier Valls [e-mail]

References

A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.

See Meucci's script for "PerformIidAnalysis.m"

R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.