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r-syscselection 1.0.2
Propagated dependencies: r-pracma@2.4.4
Channel: guix-cran
Location: guix-cran/packages/s.scm (guix-cran packages s)
Home page: https://cran.r-project.org/package=SyScSelection
Licenses: CC0
Synopsis: Systematic Scenario Selection for Stress Testing
Description:

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.

Total results: 1