Raw2Central: Transforms the first n raw moments into the first n central...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Details
Value
Author(s)
References
Description
Step 6 of projection process:
Usage
1
Raw2Central(mu_)
Arguments
mu_
: [vector] (length N corresponding to order N)
corresponding raw moments
Details
compute multi-period central moments.
Note the first central moment defined as expectation.
\tilde{ μ } ^ {\big(n\big)} _{X} \equiv E \big\{
X^{n} \big\}, \\ μ ^{ \big(n\big) }_{X} \equiv
∑_0^{n-1} \big(-1\big)^{n-k} μ ^{n-k}_{X} \tilde{
μ }^{k}_{X} + \tilde{ μ }_{X}^{n}
Value
mu : [vector] (length N corresponding to order N) central
moments
Author(s)
Ram Ahluwalia rahluwalia@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio
Management" http://symmys.com/node/170, "E 16- Raw
Moments to central moments".
See Meucci's script for "Raw2Central.m"
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Details Value Author(s) References
Description
Step 6 of projection process:
Usage
1 | Raw2Central(mu_)
|
Arguments
mu_ |
: [vector] (length N corresponding to order N) corresponding raw moments |
Details
compute multi-period central moments.
Note the first central moment defined as expectation.
\tilde{ μ } ^ {\big(n\big)} _{X} \equiv E \big\{ X^{n} \big\}, \\ μ ^{ \big(n\big) }_{X} \equiv ∑_0^{n-1} \big(-1\big)^{n-k} μ ^{n-k}_{X} \tilde{ μ }^{k}_{X} + \tilde{ μ }_{X}^{n}
Value
mu : [vector] (length N corresponding to order N) central moments
Author(s)
Ram Ahluwalia rahluwalia@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170, "E 16- Raw Moments to central moments".
See Meucci's script for "Raw2Central.m"
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.