rHS_arma: Simulation HS
In ajmcneil/spectralBacktest: Spectral Backtests of Forecast Distributions
View source: R/martingaleDifference.R
rHS_arma R Documentation
Simulation HS
Description
Simulate a stylized sample for a hypothetical bank using plain-vanilla historical simulation.
Let the unmodelled stochastic volatility be driven by ARMA(1,1) process.
Usage
rHS_arma(n, cormodel)
Arguments
n
length of sample
cormodel
list of ar and ma weights, each scalar
Value
vector of length n
ajmcneil/spectralBacktest documentation built on Dec. 31, 2022, 8:17 p.m.
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View source: R/martingaleDifference.R
| rHS_arma | R Documentation |
Simulation HS
Description
Simulate a stylized sample for a hypothetical bank using plain-vanilla historical simulation. Let the unmodelled stochastic volatility be driven by ARMA(1,1) process.
Usage
rHS_arma(n, cormodel)
Arguments
n |
length of sample |
cormodel |
list of |
Value
vector of length n
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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