Description Usage Arguments Details Value Author(s) References
Step 6 of projection process:
1 | Raw2Central(mu_)
|
mu_ |
: [vector] (length N corresponding to order N) corresponding raw moments |
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}
mu : [vector] (length N corresponding to order N) central moments
Ram Ahluwalia rahluwalia@gmail.com
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"
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