cdf_stressed: Empirical Distribution Function of a Stressed Model
In spesenti/SWIM: Scenario Weights for Importance Measurement

Description Usage Arguments Details Value Author(s) See Also Examples

Provides the empirical distribution of a stressed model component (random variable) under the scenario weights

1	cdf_stressed(object, xCol = 1, wCol = "all", grid, base = FALSE)

`object`	A `SWIM` or `SWIMw` object.
`xCol`	Numeric, (name of) the column of the underlying data of the `object` (`default = 1`).
`wCol`	Vector or characters, the columns of the scenario weights of the `object` (`default = "all"`).
`grid`	Vector, the empirical distribution of the `xCol` component of the stressed model with weights `wCol`.
`base`	Logical, if TRUE, statistics under the baseline are also returned (default = "FALSE").]

The cdf_stressed returns the values of the empirical distribution function of the xCol model components for weights wCol. In contrast, the cdf function returns a function, analogous to the ecdf from the base package. The function cdf_stressed is the cdf function applied to grid.

A matrix containing the empirical distribution function applied to grid of the xCol components of the stressed model with weights wCol.

Kent Wu

See cdf for the empirical distribution function of a stressed model component and quantile_stressed for sample quantiles of a stressed model.

     
## example with a stress on VaR
set.seed(0)
x <- as.data.frame(cbind(
  "normal" = rnorm(1000), 
  "gamma" = rgamma(1000, shape = 2)))
res1 <- stress(type = "VaR", x = x, 
  alpha = c(0.9, 0.95), q_ratio = 1.05)
grid <- seq(min(x$normal), max(x$normal), length.out = 5)
## stressed empirical distribution function
cdf_stressed(res1, xCol = 1, wCol = "all", grid = grid)