RTL (version 1.3.7)

simMultivariates: Multivariate normal from historical dataset

Description

Generates multivariate random epsilons using absolute returns.

Usage

simMultivariates(nsims = 10, x, s0 = NULL)

Value

List of means, sds, covariance matrix, correlation matrix and simulated values. list

Arguments

nsims

Number of simulations. Defaults to 10. numeric

x

Wide data frame of prices with date as first column. tibble

s0

Vector of starting value for each variables. Defaults to NULL with zero. numeric

Author

Philippe Cote

Examples

if (FALSE) {
simMultivariates(nsims = 10, x = RTL::fizdiffs, s0 = NULL)
}