Description Usage Arguments Note Author(s) References
Plot the marginals of the normal-inverse-Whishart model. Described in A. Meucci "Risk and Asset Allocation", Springer, 2005
1 2 | PlotMarginalsNormalInverseWishart(Mu_Simul,
InvSigma_Simul, Mu_0, T_0, Sigma_0, Nu_0, Legend)
|
Mu_Simul |
[] |
InvSigma_Simul |
[] |
Mu_0 |
[] |
T_0 |
[] |
Sigma_0 |
[] |
Nu_0 |
[] |
Legend |
[] |
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)
Xavier Valls flamejat@gmail.com
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.
See Meucci's script for "PlotMarginalsNormalInverseWishart.m"
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