RandNormalInverseWishart: Generates a multivariate i.i.d. sample of lenght J from the...

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

Description

Generates a multivariate i.i.d. sample of lenght J from the normal-inverse-Wishart distribution, as described in A. Meucci "Risk and Asset Allocation", Springer, 2005.

Usage

  RandNormalInverseWishart(Mu_0, T_0, Sigma_0, nu_0, J)

Arguments

Mu_0	[vector] location parameter.
T_0	[scalar] number of observations.
Sigma_0	[matrix] scatter parameter.
nu_0	[scalar] degrees of freedom.
J	[scalar] number of simulations to compute.

Value

Mu [vector] location parameter from the normal-inverse-Wishart distribution.

Sigma [matrix] dispersion parameter from the normal-inverse-Wishart distribution.

InvSigma [matrix] inverse of the dispersion parameter from the normal-inverse-Wishart distribution.

Note

Mu|Sigma ~ N(Mu_0,Sigma/T_0)

inv(Sigma) ~ W(Nu_0,inv(Sigma_0)/Nu_0)

Author(s)

Xavier Valls [e-mail]

References

A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170. See Meucci's script for "RandNormalInverseWishart.m"

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