Description Usage Arguments Details Value Examples
View source: R/cov-estim-sim.R
Simulates a covariance matrix with specific properties
1 | sigma_sim(p, corr_min, corr_max, vola_min, vola_max)
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p |
an integer, indicating the number of variables. |
corr_min |
a double, indicating the minimum possible correlation across the p variables. |
corr_max |
a double, indicating the maximum possible correlation across the p variables (except the correlation with self of 1). |
vola_min |
a double, indicating the minimum possible volatility of the p variables. |
vola_max |
a double, indicating the maximum possible volatility of the p variables. |
The correlation and volatility values are drown from a uniform distribution. A condition for positive-definiteness of the resulting covariance matrix is not implemented.
a pxp covariance matrix.
1 | sim_sigma <- sigma_sim(100, corr_min=0.01, corr_max=0.40, vola_min=0.05, vola_max=0.30)
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