StudentTCopulaPdf: Pdf of the copula of the Student t distribution at the...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
Pdf of the copula of the Student t distribution at the
generic point u in the unit hypercube, as described in A.
Meucci, "Risk and Asset Allocation", Springer, 2005.
Usage
1
StudentTCopulaPdf(u, nu, Mu, Sigma)
Arguments
u
: [vector] (J x 1) grade
nu
: [numerical] degrees of freedom
Mu
: [vector] (N x 1) mean
Sigma
: [matrix] (N x N) scatter
Value
F_U : [vector] (J x 1) PDF values
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio
Management" http://symmys.com/node/170, "E 88 -
Copula vs. Correlation".
See Meucci's script for "StudentTCopulaPdf.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 Value Author(s) References
Description
Pdf of the copula of the Student t distribution at the generic point u in the unit hypercube, as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005.
Usage
1 | StudentTCopulaPdf(u, nu, Mu, Sigma)
|
Arguments
u |
: [vector] (J x 1) grade |
nu |
: [numerical] degrees of freedom |
Mu |
: [vector] (N x 1) mean |
Sigma |
: [matrix] (N x N) scatter |
Value
F_U : [vector] (J x 1) PDF values
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170, "E 88 - Copula vs. Correlation".
See Meucci's script for "StudentTCopulaPdf.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.