TwoDimEllipsoid: Computes the location-dispersion ellipsoid of the normalized...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
This function computes the location-dispersion ellipsoid
of the normalized (unit variance, zero expectation)first
diagonal and off-diagonal elements of a 2x2 Wishart
distribution as a function of the inputs, as described in
A. Meucci, "Risk and Asset Allocation", Springer, 2005,
Chapter 2.
Usage
1
2
TwoDimEllipsoid(Location, Square_Dispersion, Scale = 1,
PlotEigVectors = FALSE, PlotSquare = FALSE)
Arguments
Location
: [vector] (2 x 1) location vector
(typically the expected value
Square_Dispersion
: [matrix] (2 x 2) scatter
matrix Square_Dispersion (typically the covariance
matrix)
Scale
: [scalar] a scalar Scale, that specifies
the scale (radius) of the ellipsoid
PlotEigVectors
: [boolean] true then the
eigenvectors (=principal axes) are plotted
PlotSquare
: [boolean] true then the enshrouding
box is plotted. If Square_Dispersion is the covariance
Value
E : [figure handle]
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio
Management" http://symmys.com/node/170.
See Meucci's script for "TwoDimEllipsoid.m"
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Value Author(s) References
Description
This function computes the location-dispersion ellipsoid of the normalized (unit variance, zero expectation)first diagonal and off-diagonal elements of a 2x2 Wishart distribution as a function of the inputs, as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005, Chapter 2.
Usage
1 2 | TwoDimEllipsoid(Location, Square_Dispersion, Scale = 1,
PlotEigVectors = FALSE, PlotSquare = FALSE)
|
Arguments
Location |
: [vector] (2 x 1) location vector (typically the expected value |
Square_Dispersion |
: [matrix] (2 x 2) scatter matrix Square_Dispersion (typically the covariance matrix) |
Scale |
: [scalar] a scalar Scale, that specifies the scale (radius) of the ellipsoid |
PlotEigVectors |
: [boolean] true then the eigenvectors (=principal axes) are plotted |
PlotSquare |
: [boolean] true then the enshrouding box is plotted. If Square_Dispersion is the covariance |
Value
E : [figure handle]
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.
See Meucci's script for "TwoDimEllipsoid.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.
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