sd_stressed: Standard Deviation and Variance of a Stressed Model
In spesenti/SWIM: Scenario Weights for Importance Measurement

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

Provides the standard deviation and variance of stressed model components (random variables) under the scenario weights.

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sd_stressed(object, xCol = "all", wCol = "all", base = FALSE)

var_stressed(object, xCol = "all", wCol = "all", base = FALSE)

`object`	A `SWIM` or `SWIMw` object.
`xCol`	Numeric or character vector, (names of) the columns of the underlying data of the `object` (`default = "all"`).
`wCol`	Vector, the columns of the scenario weights of the `object` corresponding to different stresses (`default = "all"`).
`base`	Logical, if `TRUE`, statistics under the baseline are also returned (`default = "FALSE"`).

sd_stressed: The standard deviation of a chosen model component, subject to the calculated scenario weights.

var_stressed: The variance of a chosen stressed model component, subject to the calculated scenario weights.

sd_stressed: Return the standard deviation of the xCol component of the stressed model with weights wCol. The quantity can be evaluated at a vector.

var_stressed: Return the variance of the xCol component of the stressed model with weights wCol. The quantity can be evaluated at a vector.

sd_stressed: Sample standard deviation of model components
var_stressed: Sample variance of model components

Kent Wu

See mean_stressed for means of stressed model components, and cor_stressed for correlations between stressed model components.

     
## 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)
## stressed standard deviation
sd_stressed(res1, xCol = "all", wCol = "all", base = TRUE)

## stressed variance
var_stressed(res1, xCol = "all", wCol = "all", base = TRUE)