[Returnanalytics-commits] r2983 - in pkg/Meucci: . man

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

Author: braverock
Date: 2013-09-04 02:29:08 +0200 (Wed, 04 Sep 2013)
New Revision: 2983

Modified:
   pkg/Meucci/
   pkg/Meucci/DESCRIPTION
   pkg/Meucci/man/FitOrnsteinUhlenbeck.Rd
Log:
- fix collate and doc



Property changes on: pkg/Meucci
___________________________________________________________________
Added: svn:ignore
   + .Rproj.user
.Rhistory
.RData


Modified: pkg/Meucci/DESCRIPTION
===================================================================
--- pkg/Meucci/DESCRIPTION	2013-09-04 00:23:36 UTC (rev 2982)
+++ pkg/Meucci/DESCRIPTION	2013-09-04 00:29:08 UTC (rev 2983)
@@ -98,6 +98,4 @@
     'BlackLittermanFormula.R'
     'Log2Lin.R'
     'PlotCompositionEfficientFrontier.R'
-    '
-    FitOrnsteinUhlenbeck.R'
     'MaxRsqTS.R'

Modified: pkg/Meucci/man/FitOrnsteinUhlenbeck.Rd
===================================================================
--- pkg/Meucci/man/FitOrnsteinUhlenbeck.Rd	2013-09-04 00:23:36 UTC (rev 2982)
+++ pkg/Meucci/man/FitOrnsteinUhlenbeck.Rd	2013-09-04 00:29:08 UTC (rev 2983)
@@ -4,17 +4,11 @@
 "Risk and Asset Allocation", Springer, 2005}
 \usage{
   FitOrnsteinUhlenbeck(Y, tau)
-
-  FitOrnsteinUhlenbeck(Y, tau)
 }
 \arguments{
   \item{Y}{: [matrix] (T x N)}
 
   \item{tau}{: [scalar] time step}
-
-  \item{Y}{: [matrix] (T x N)}
-
-  \item{tau}{: [scalar] time step}
 }
 \value{
   Mu : [vector] long-term means
@@ -24,41 +18,21 @@
 
   Sig : [matrix] Sig = S * S', covariance matrix of
   Brownian motions
-
-  Mu : [vector] long-term means
-
-  Th : [matrix] whose eigenvalues have positive real part /
-  mean reversion speed
-
-  Sig : [matrix] Sig = S * S', covariance matrix of
-  Brownian motions
 }
 \description{
   Fit a multivariate OU process at estimation step tau, as
   described in A. Meucci "Risk and Asset Allocation",
   Springer, 2005
-
-  Fit a multivariate OU process at estimation step tau, as
-  described in A. Meucci "Risk and Asset Allocation",
-  Springer, 2005
 }
 \note{
   o dY_t = -Th * (Y_t - Mu) * dt + S * dB_t where o dB_t:
   vector of Brownian motions
-
-  o dY_t = -Th * (Y_t - Mu) * dt + S * dB_t where o dB_t:
-  vector of Brownian motions
 }
 \author{
   Xavier Valls \email{flamejat at gmail.com}
-
-  Xavier Valls \email{flamejat at gmail.com}
 }
 \references{
   \url{http://symmys.com/node/170} See Meucci's script for
   "FitOrnsteinUhlenbeck.m"
-
-  \url{http://symmys.com/node/170} See Meucci's script for
-  "EfficientFrontierReturns.m"
 }