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
DOI:	10.32614/CRAN.package.SyScSelection
Author:	Merlin Kopfmann
Maintainer:	Merlin Kopfmann <mghncd+cran at posteo.jp>
License:	CC0
NeedsCompilation:	no
Materials:	README
CRAN checks:	SyScSelection results

Documentation:

Reference manual:	SyScSelection.pdf
Vignettes:	my-vignette

Downloads:

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-oldrel (arm64): SyScSelection_1.0.2.tgz, r-release (x86_64): SyScSelection_1.0.2.tgz, r-oldrel (x86_64): SyScSelection_1.0.2.tgz
Old sources:	SyScSelection archive

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