CRAN/E | SyScSelection

SyScSelection

Systematic Scenario Selection for Stress Testing

Installation

About

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.

Key Metrics

Version 1.0.2
Published 2020-10-26 1130 days ago
Needs compilation? no
License CC0
CRAN checks SyScSelection results

Downloads

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Last 7 days 34 -15%
Last 30 days 154 +51%
Last 90 days 351 +1%
Last 365 days 1.581 -35%

Maintainer

Maintainer

Merlin Kopfmann

mghncd+cran@posteo.jp

Authors

Merlin Kopfmann

Material

README
Reference manual
Package source

Vignettes

my-vignette

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

SyScSelection archive

Imports

pracma
stats

Suggests

knitr
rmarkdown