PlotMarginalsNormalInverseWishart: Plot the marginals of the normal-inverse-Whishart model....
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Note
Author(s)
References
Description
Plot the marginals of the normal-inverse-Whishart model.
Described in A. Meucci "Risk and Asset Allocation",
Springer, 2005
Usage
1
2
PlotMarginalsNormalInverseWishart(Mu_Simul,
InvSigma_Simul, Mu_0, T_0, Sigma_0, Nu_0, Legend)
Arguments
Mu_Simul
[]
InvSigma_Simul
[]
Mu_0
[]
T_0
[]
Sigma_0
[]
Nu_0
[]
Legend
[]
Note
Numerically and analytically the marginal pdf of - the
first entry of the random vector Mu - the (1,1)-entry of
the random matrix inv(Sigma) when Mu and Sigma are
jointly normal-inverse-Wishart: Mu ~ St(Mu_0,Sigma/T_0)
inv(Sigma) ~ W(Nu_0,inv(Sigma_0)/Nu_0)
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio
Management" http://symmys.com/node/170.
See Meucci's script for
"PlotMarginalsNormalInverseWishart.m"
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Note Author(s) References
Description
Plot the marginals of the normal-inverse-Whishart model. Described in A. Meucci "Risk and Asset Allocation", Springer, 2005
Usage
1 2 | PlotMarginalsNormalInverseWishart(Mu_Simul,
InvSigma_Simul, Mu_0, T_0, Sigma_0, Nu_0, Legend)
|
Arguments
Mu_Simul |
[] |
InvSigma_Simul |
[] |
Mu_0 |
[] |
T_0 |
[] |
Sigma_0 |
[] |
Nu_0 |
[] |
Legend |
[] |
Note
Numerically and analytically the marginal pdf of - the first entry of the random vector Mu - the (1,1)-entry of the random matrix inv(Sigma) when Mu and Sigma are jointly normal-inverse-Wishart: Mu ~ St(Mu_0,Sigma/T_0) inv(Sigma) ~ W(Nu_0,inv(Sigma_0)/Nu_0)
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.
See Meucci's script for "PlotMarginalsNormalInverseWishart.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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