least_info_kernel

This is an internal function that uses the kernel-smoothing approach to compute
the posterior probabilities that satisfies some macroeconomic statement.

internal

Implements numerical entropy-pooling for portfolio construction and
scenario analysis as described in Meucci, Attilio (2008) and Meucci, Attilio (2010)
<doi:10.2139/ssrn.1696802>.

Bernardo Reckziegel

Fully Flexible Probabilities for Stress Testing and Portfolio
Construction

least_info_kernel function

<dl><dt>Y</dt>
<dd>A <code>matrix</code> with the macroeconomic indicators.</dd>
<dt>y</dt>
<dd>A <code>numeric</code> scalar with the target to which <code>Y</code> is expected
to be near by.</dd>
<dt>h2</dt>
<dd>A <code>matrix</code> with the covariance of the <code>Y</code> factor.</dd></dl>

Arguments

Least Information Kernel-Smoothing — least_info_kernel

<dl>

<dt>Y</dt>
<dd>A <code>matrix</code> with the macroeconomic indicators.</dd>


<dt>y</dt>
<dd>A <code>numeric</code> scalar with the target to which <code>Y</code> is expected
to be near by.</dd>


<dt>h2</dt>
<dd>A <code>matrix</code> with the covariance of the <code>Y</code> factor.</dd>

</dl>

least_info_kernel: Least Information Kernel-Smoothing

Description

Usage

Value

Arguments