Description Usage Arguments Value Note Author(s) References
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.
1 | RandNormalInverseWishart(Mu_0, T_0, Sigma_0, nu_0, J)
|
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. |
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.
Mu|Sigma ~ N(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 "RandNormalInverseWishart.m"
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