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.

Version: 1.0.2
Imports: pracma, stats
Suggests: knitr, rmarkdown
Published: 2020-10-26
Author: Merlin Kopfmann
Maintainer: Merlin Kopfmann <mghncd+cran at posteo.jp>
License: CC0
NeedsCompilation: no
Materials: README
CRAN checks: SyScSelection results

Downloads:

Reference manual: SyScSelection.pdf
Vignettes: my-vignette
Package source: SyScSelection_1.0.2.tar.gz
Windows binaries: r-devel: SyScSelection_1.0.2.zip, r-release: SyScSelection_1.0.2.zip, r-oldrel: SyScSelection_1.0.2.zip
macOS binaries: r-release (arm64): SyScSelection_1.0.2.tgz, r-release (x86_64): SyScSelection_1.0.2.tgz, r-oldrel: SyScSelection_1.0.2.tgz
Old sources: SyScSelection archive

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