Description Usage Arguments Note Author(s) References
This function performs simple invariance (i.i.d.) tests on a time series, as described in A. Meucci "Risk and Asset Allocation", Springer, 2005
1 | PerformIidAnalysis(Dates = dim(Data)[1], Data, Str = "")
|
Dates |
: [vector] (T x 1) dates |
Data |
: [matrix] (T x N) data |
Str |
: [string] title for the plot |
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
Xavier Valls flamejat@gmail.com
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.
See Meucci's script for "PerformIidAnalysis.m"
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