README.md
In meko222/SyScSelection: Systemic Scenario Selection for Stress Testing
SyScSelection
"Quasi-Monte-Carlo algorithm for systematic generation of shock scenarios from an arbitrary multivariate elliptical distribution. The algorithm selects a systematic mesh of arbitrary fineness that approximately evenly covers an isoprobability ellipsoid in d dimensions." (Flood, Mark D. & Korenko, George G. "Systematic Scenario Selection", Office of Financial Research Working Paper #0005, 2013) This package is the R equivalent to the Matlab Code published by Flood & Korenko in above-mentioned paper.
meko222/SyScSelection documentation built on May 31, 2020, 12:33 a.m.
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SyScSelection
"Quasi-Monte-Carlo algorithm for systematic generation of shock scenarios from an arbitrary multivariate elliptical distribution. The algorithm selects a systematic mesh of arbitrary fineness that approximately evenly covers an isoprobability ellipsoid in d dimensions." (Flood, Mark D. & Korenko, George G. "Systematic Scenario Selection", Office of Financial Research Working Paper #0005, 2013) This package is the R equivalent to the Matlab Code published by Flood & Korenko in above-mentioned paper.
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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