QuantileMixture: Computes the quantile of a mixture distribution by linear...

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

Description

Computes the quantile of a mixture distribution by linear interpolation/extrapolation of the cdf. The confidence level p can be vector. If this vector is uniformly distributed on [0,1] the sample Q is distributed as the mixture. Described in A. Meucci "Risk and Asset Allocation", Springer, 2005.

Usage

  QuantileMixture(p, a, m_Y, s_Y, m_Z, s_Z)

Arguments

p	[scalar] in [0,1], probability
a	[scalar] in (0,1), mixing probability
m_Y	[scalar] mean of normal component
s_Y	[scalar] standard deviation of normal component
m_Z	[scalar] first parameters of the log-normal component
s_Z	[scalar] second parameter of the log-normal component

Value

Q [scalar] quantile

Author(s)

Xavier Valls [e-mail]

References

A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170, "E 184 - Estimation of a quantile of a mixture I".

See Meucci's script for "QuantileMixture.m"

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