Description Usage Arguments Details Value Author(s) References See Also Examples
Resample with replacement from a number of vectors; the sample will have a specified rank correlation.
1 |
... |
numeric vectors; they need not have the same length. |
size |
an integer: the number of samples to draw |
cormat |
the rank correlation matrix |
See Gilli, Maringer and Schumann (2011), Section 7.1.2. The function
samples with replacement from the vectors passed through
...
. The resulting samples will have an (approximate) rank
correlation as specified in cormat
.
The function uses the eigenvalue decomposition to generate the
correlation; it will not break down in case of a semidefinite
matrix. If an eigenvalue of cormat
is smaller than zero, a
warning is issued (but the function proceeds).
a numeric matrix with size
rows. The columns contain the
samples; hence, there will be as many columns as vectors passed
through ...
.
Enrico Schumann
Gilli, M., Maringer, D. and Schumann, E. (2011) Numerical Methods and Optimization in Finance. Elsevier. http://www.elsevierdirect.com/product.jsp?isbn=9780123756626
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