[Returnanalytics-commits] r2198 - pkg/PerformanceAnalytics/sandbox/Meucci
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Jul 23 08:11:13 CEST 2012
Author: mkshah
Date: 2012-07-23 08:11:13 +0200 (Mon, 23 Jul 2012)
New Revision: 2198
Added:
pkg/PerformanceAnalytics/sandbox/Meucci/00index
Modified:
pkg/PerformanceAnalytics/sandbox/Meucci/DESCRIPTION
Log:
Adding the 00index file and changing DESCRIPTION
Added: pkg/PerformanceAnalytics/sandbox/Meucci/00index
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Meucci/00index (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Meucci/00index 2012-07-23 06:11:13 UTC (rev 2198)
@@ -0,0 +1,58 @@
+Central2Raw Transforms first n central moments into first n raw moments (first
+ central moment defined as expectation)
+CMAcombination CMA combination. Glues an arbitrary copula and arbitrary marginal
+ distributions into a new joint distribution
+CMAseparation CMA separation. Decomposes arbitrary joint distributions
+ (scenario-probabilities) into their copula and marginals
+ComputeMoments Takes a matrix of joint-scenario probability distributions and
+ generates expectations, standard devation, and correlation matrix for
+ the assets
+ComputeMVE Compute the minimum volume ellipsoid for a given (multi-variate)
+ time-series
+CondProbViews Input conditional views
+Cumul2Raw Transforms cumulants of Y-t into raw moments
+DetectOutliersViaMVE Use the minimum volume ellipsoid to detect outliers
+efficientFrontier Construct the mean-variance efficient frontier using a quadratic solver
+EntropyProg Entropy pooling program for blending views on scenarios with a prior
+ scenario-probability distribution
+gaussHermiteMesh Generates grid reprensentation of a distribution according to the
+ method suggested by Meucci and inspired from Gauss-Hermite quadratures.
+GenerateLogNormalDistribution Generate arbitrary distribution of a shifted-lognormal invariant
+hermitePolynomial Generate a Hermite Polynomial of order n
+integrateSubIntervals Integrate the subinterval for the given cumulative distribution
+ function to get the equivalent probability
+kernelbw Generates bandwidth of a Gaussian Kernel Density Estimator based on
+ Silverman's rule of thumb
+kernelcdf Evaluates cumulative distribution function for the input numeric value
+kernelinv Evaluates inverse probability distribution function for the input
+ probability in order to get the data point
+kernelpdf Evaluates probability distribution function for the input numeric value
+linreturn Generate arithmetric returns and arithmetric covariance matrix given a
+ distribution of log returns
+MvnRnd Generates normal simulations whose sample moments match the population
+ moments
+NoisyObservations Generate observations from a two asset covariance matrix and add
+ outliers
+normalizeProb Generates the normalized probability for an input probability value
+PanicCopula Copula-Marginal Algorithm (CMA)
+PartialConfidencePosterior Constructs the partial confidence posterior based on a prior, sample
+ mu/covariance, and relative confidence in the prior
+pHist Generates histogram
+PlotDistributions Plot numerical and analytical prior and posterior distributions
+Prior2Posterior Calculate the full-confidence posterior distributions of Mu and Sigma
+private_fun Evaluates the difference between calculated cumulative distribution
+ function for a data point and the true value
+Raw2Central Transforms the first n raw moments into the first n central moments
+Raw2Cumul Transforms raw moments into cumulants
+RejectOutlier Finds the "worst" outlier in a multivariate time series
+RIEfficientFrontier Generates an efficient frontier based on Meucci's Ranking Information
+ version with the following inputs
+robustBayesianPortfolioOptimization
+ Construct a Bayesian mean-variance efficient frontier and identifies
+ the most robust portfolio
+StackedBarChart Generate a Stacked Bar Chart based on the frontier weights matrix
+std Calculates the population standard deviation
+subIntervals Generate the intervals containing jth point of the grid.
+SummStats Compute summary stats
+Tweak tweak a matrix
+ViewRanking view the rankings
Modified: pkg/PerformanceAnalytics/sandbox/Meucci/DESCRIPTION
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Meucci/DESCRIPTION 2012-07-23 02:42:08 UTC (rev 2197)
+++ pkg/PerformanceAnalytics/sandbox/Meucci/DESCRIPTION 2012-07-23 06:11:13 UTC (rev 2198)
@@ -1,38 +1,23 @@
-Package: Meucci
-Type: Package
-Title: Econometric tools for performance and risk analysis.
-Version: 0.1
-Date: $Date: 2012-06-06 15:18:48 -0500 (Wed, 06 Jun 2012) $
-Author: Ram Ahluwalia, Manan Shah
-Maintainer: Brian G. Peterson <brian at braverock.com>
-Description: stub for Meucci
-Depends:
- R (>= 2.14.0),
- zoo,
- xts (>= 0.8),
- matlab,
- ggplot2
-Suggests:
- Hmisc,
- MASS,
- tseries,
- quadprog,
- sn,
- robustbase,
- quantreg,
- gplots,
- ff
-License: GPL
-URL: http://r-forge.r-project.org/projects/returnanalytics/
-Copyright: (c) 2004-2012
-Collate:
- 'CmaCopula.R'
- 'DetectOutliersviaMVE.R'
- 'EntropyProg.R'
- 'FullyFlexibleBayesNets.R'
- 'HermiteGrid.R'
- 'InvariantProjection.R'
- 'logToArithmeticCovariance.R'
- 'Prior2Posterior.R'
- 'RankingInformation.R'
- 'RobustBayesianAllocation.R'
+Package: Meucci
+Type: Package
+Title: Econometric tools for performance and risk analysis.
+Version: 0.1
+Date: $Date: 2012-06-06 15:18:48 -0500 (Wed, 06 Jun 2012) $
+Author: Ram Ahluwalia, Manan Shah
+Maintainer: Brian G. Peterson <brian at braverock.com>
+Description: stub for Meucci
+Depends: R (>= 2.14.0), zoo, xts (>= 0.8), matlab, ggplot2, MASS, pracma, Hmisc, Matrix, nloptr, limSolve,moments, quadprog
+License: GPL
+URL: http://r-forge.r-project.org/projects/returnanalytics/
+Copyright: (c) 2004-2012
+Collate:
+ 'CmaCopula.R'
+ 'DetectOutliersviaMVE.R'
+ 'EntropyProg.R'
+ 'FullyFlexibleBayesNets.R'
+ 'HermiteGrid.R'
+ 'InvariantProjection.R'
+ 'logToArithmeticCovariance.R'
+ 'Prior2Posterior.R'
+ 'RankingInformation.R'
+ 'RobustBayesianAllocation.R'
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