SyScSelection
Systematic Scenario Selection for Stress Testing
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. (2013) doi:10.1080/14697688.2014.926018). This package is the 'R' analogy to the 'Matlab' code published by Flood & Korenko in above-mentioned paper.
- Version1.0.2
- R versionunknown
- LicenseCC0
- Needs compilation?No
- Last release10/26/2020
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Team
Merlin Kopfmann
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