Description Usage Arguments Value Author(s) References
\tilde{ μ } \equiv μ + Σ Q' {\big(Q Σ Q' \big)}^{-1} \big( \tilde{μ}_{Q} - Q μ \big), \\ \tilde{ Σ } \equiv Σ + Σ G' \big({\big(G Σ G' \big)}^{-1} \tilde{ Σ }_G {\big(G Σ G' \big)}^{-1} - {\big(G Σ G' \big)}^{-1} \big) G Σ
1 | Prior2Posterior(M, Q, M_Q, S, G, S_G)
|
M |
a numeric vector with the Mu of the normal reference model |
Q |
a numeric vector used to construct a view on expectation of the linear combination QX |
M_Q |
a numeric vector with the view of the expectations of QX |
S |
a covariance matrix for the normal reference model |
G |
a numeric vector used to construct a view on covariance of the linear combination GX |
S_G |
a numeric with the expectation associated with the covariance of the linear combination GX |
a list with
M_ a numeric vector with the full-confidence posterior distribution of Mu
S_ a covariance matrix with the full-confidence posterior distribution of Sigma
Ram Ahluwalia ram@wingedfootcapital.com
http://www.symmys.com/node/158 http://ssrn.com/abstract=1213325 A. Meucci - "Fully Flexible Views: Theory and Practice". See formula (21) and (22) on page 7 See Meucci script Prior2Posterior.m attached to Entropy Pooling Paper
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.