BLCOP (version 0.3.3)

densityPlots: Density plots of prior and posterior distributions

Description

This generic function generates density plots of the marginal posterior and prior distributions of a set of assets in an object of class BLResult or COPResult for comparative purposes.

Usage

densityPlots(result, assetsSel = NULL, numSimulations = BLCOPOptions("numSimulations"), 
             ...)

Arguments

result

Object of class

assetsSel

A numeric vector of assets to plot

numSimulations

For COPResult class objects, the number of simulations to use for the market posterior distribution

…

Additional arguments passed to plot

Value

None

Details

For COPResults objects, density kernel estimates from the samples are used

Examples

# NOT RUN {
    
# }
# NOT RUN {
        dispersion <- c(.376,.253,.360,.333,.360,.600,.397,.396,.578,.775) / 1000
        sigma <- BLCOP:::.symmetricMatrix(dispersion, dim = 4)
        caps <- rep(1/4, 4)
        mu <- 2.5 * sigma <!-- %*% caps -->
        dim(mu) <- NULL
        marketDistribution <- mvdistribution("mt", mean = mu, S = sigma, df = 5 )
        pick <- matrix(0, ncol = 4, nrow = 1, dimnames = list(NULL, c("SP", "FTSE", "CAC", "DAX")))
        pick[1,4] <- 1
        vdist <- list(distribution("unif", min = -0.02, max = 0))
    
        views <- COPViews(pick, vdist, 0.2, c("SP", "FTSE", "CAC", "DAX"))
        posterior <- COPPosterior(marketDistribution, views)
        densityPlots(posterior, 4)
        
# }