[Returnanalytics-commits] r2379 - in pkg/Meucci: . R man

[noreply at r-forge.r-project.org]

Author: xavierv
Date: 2013-06-19 19:29:26 +0200 (Wed, 19 Jun 2013)
New Revision: 2379

Added:
   pkg/Meucci/man/StudentTCopulaPdf.Rd
Modified:
   pkg/Meucci/NAMESPACE
   pkg/Meucci/R/LognormalCopulaPdf.R
   pkg/Meucci/R/NormalCopulaPdf.R
   pkg/Meucci/R/StudentTCopulaPdf.R
Log:
- added roxygenized documentation for the StudentTCopulaPdf function 

Modified: pkg/Meucci/NAMESPACE
===================================================================
--- pkg/Meucci/NAMESPACE	2013-06-19 17:20:55 UTC (rev 2378)
+++ pkg/Meucci/NAMESPACE	2013-06-19 17:29:26 UTC (rev 2379)
@@ -11,10 +11,12 @@
 export(hermitePolynomial)
 export(integrateSubIntervals)
 export(linreturn)
+export(LognormalCopulaPdf)
 export(LognormalMoments2Parameters)
 export(LognormalParam2Statistics)
 export(MvnRnd)
 export(NoisyObservations)
+export(NormalCopulaPdf)
 export(normalizeProb)
 export(PanicCopula)
 export(PartialConfidencePosterior)
@@ -25,6 +27,7 @@
 export(RIEfficientFrontier)
 export(robustBayesianPortfolioOptimization)
 export(std)
+export(StudentTCopulaPdf)
 export(subIntervals)
 export(SummStats)
 export(Tweak)

Modified: pkg/Meucci/R/LognormalCopulaPdf.R
===================================================================
--- pkg/Meucci/R/LognormalCopulaPdf.R	2013-06-19 17:20:55 UTC (rev 2378)
+++ pkg/Meucci/R/LognormalCopulaPdf.R	2013-06-19 17:29:26 UTC (rev 2379)
@@ -1,3 +1,4 @@
+library(pracma);
 
 #' Computes the pdf of the copula of the lognormal distribution at the generic point u in the unit hypercube,
 #' as described in  A. Meucci, "Risk and Asset Allocation", Springer, 2005.
@@ -6,7 +7,7 @@
 #'	@param   Mu    : [vector] (N x 1) location parameter
 #'	@param   Sigma : [matrix] (N x N) scatter parameter
 #'  
-#'	@return   F_U   : [vector] (J x 1) PDF values
+#'	@return  F_U   : [vector] (J x 1) PDF values
 #'
 #' @references
 #' \url{http://}
@@ -15,10 +16,8 @@
 #' @author Xavier Valls \email{flamejat@@gmail.com}
 #' @export
 
-library(pracma);
-
 LognormalCopulaPdf = function( u, Mu, Sigma )
-{
+{	
 	N = length( u );
 	s = sqrt( diag( Sigma ));
 

Modified: pkg/Meucci/R/NormalCopulaPdf.R
===================================================================
--- pkg/Meucci/R/NormalCopulaPdf.R	2013-06-19 17:20:55 UTC (rev 2378)
+++ pkg/Meucci/R/NormalCopulaPdf.R	2013-06-19 17:29:26 UTC (rev 2379)
@@ -1,3 +1,5 @@
+library(pracma);
+
 #' Computes the pdf of the copula of the normal distribution at the generic point u in the unit hypercube,
 #' as described in  A. Meucci, "Risk and Asset Allocation", Springer, 2005.
 #'  
@@ -14,8 +16,6 @@
 #' @author Xavier Valls \email{flamejat@@gmail.com}
 #' @export
 
-library(pracma);
-
 NormalCopulaPdf = function( u, Mu, Sigma )
 {
 	N = length( u );

Modified: pkg/Meucci/R/StudentTCopulaPdf.R
===================================================================
--- pkg/Meucci/R/StudentTCopulaPdf.R	2013-06-19 17:20:55 UTC (rev 2378)
+++ pkg/Meucci/R/StudentTCopulaPdf.R	2013-06-19 17:29:26 UTC (rev 2379)
@@ -1,3 +1,5 @@
+library(pracma);
+
 #' Pdf of the copula of the Student t distribution at the generic point u in the unit hypercube,
 #' as described in  A. Meucci, "Risk and Asset Allocation", Springer, 2005.
 #'  
@@ -16,9 +18,6 @@
 #' @author Xavier Valls \email{flamejat@@gmail.com}
 #' @export
 
-library(pracma);
-
-
 StudentTCopulaPdf = function( u, nu, Mu, Sigma )
 {
 	N = length( u );

Added: pkg/Meucci/man/StudentTCopulaPdf.Rd
===================================================================
--- pkg/Meucci/man/StudentTCopulaPdf.Rd	                        (rev 0)
+++ pkg/Meucci/man/StudentTCopulaPdf.Rd	2013-06-19 17:29:26 UTC (rev 2379)
@@ -0,0 +1,32 @@
+\name{StudentTCopulaPdf}
+\alias{StudentTCopulaPdf}
+\title{Pdf of the copula of the Student t distribution at the generic point u in the unit hypercube,
+as described in  A. Meucci, "Risk and Asset Allocation", Springer, 2005.}
+\usage{
+  StudentTCopulaPdf(u, nu, Mu, Sigma)
+}
+\arguments{
+  \item{u}{: [vector] (J x 1) grade}
+
+  \item{nu}{: [numerical] degrees of freedom}
+
+  \item{Mu}{: [vector] (N x 1) mean}
+
+  \item{Sigma}{: [matrix] (N x N) scatter}
+}
+\value{
+  F_U : [vector] (J x 1) PDF values
+}
+\description{
+  Pdf of the copula of the Student t distribution at the
+  generic point u in the unit hypercube, as described in A.
+  Meucci, "Risk and Asset Allocation", Springer, 2005.
+}
+\author{
+  Xavier Valls \email{flamejat at gmail.com}
+}
+\references{
+  \url{http://} See Meucci's script for
+  "StudentTCopulaPdf.m"
+}
+