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SWIM
View on CRAN: Click
here
Download and install SWIM package within the R console
Install from CRAN:
install.packages("SWIM")
Install from Github:
library("remotes")
install_github("cran/SWIM")
Install by package version:
library("remotes")
install_version("SWIM", "1.0.0")
Attach the package and use:
library("SWIM")
Maintained by
Silvana M. Pesenti
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
10.32614/CRAN.package.SWIM . https://github.com/spesenti/SWIM/issues . https://github.com/spesenti/SWIM . SWIM citation info . SWIM results . SWIM.pdf . SWIM_1.0.0.tar.gz . SWIM_1.0.0.zip . SWIM_1.0.0.zip . SWIM_1.0.0.zip . SWIM_1.0.0.tgz . SWIM_1.0.0.tgz . SWIM_1.0.0.tgz . SWIM_1.0.0.tgz . SWIM archive . https://CRAN.R-project.org/package=SWIM .
First Published: 2019-07-19
Latest Update: 2022-01-09
Description:
An efficient sensitivity analysis for stochastic models based on Monte Carlo samples. Provides weights on simulated scenarios from a stochastic model, such that stressed random variables fulfil given probabilistic constraints (e.g. specified values for risk measures), under the new scenario weights. Scenario weights are selected by constrained minimisation of the relative entropy to the baseline model. The 'SWIM' package is based on Pesenti S.M., Millossovich P., Tsanakas A. (2019) "Reverse Sensitivity Testing: What does it take to break the model" <openaccess.city.ac.uk/id/eprint/18896/> and Pesenti S.M. (2021) "Reverse Sensitivity Analysis for Risk Modelling" <https://www.ssrn.com/abstract=3878879>.
How to cite:
Silvana M. Pesenti (2019). SWIM: Scenario Weights for Importance Measurement. R package version 1.0.0, https://cran.r-project.org/web/packages/SWIM. Accessed 18 Apr. 2025.
Previous versions and publish date:
Other packages that cited SWIM R package
View SWIM citation profile
Other R packages that SWIM depends,
imports, suggests or enhances
Complete documentation for SWIM
Functions, R codes and Examples using
the SWIM R package
Some associated functions: SWIM . VaR_stressed . cdf . cdf_stressed . convert_SWIMw_to_SWIM . cor_stressed . credit_data . get_data . importance_rank . mean_stressed . merge.SWIM . merge.SWIMw . plot_cdf . plot_hist . plot_quantile . plot_sensitivity . plot_weights . quantile_stressed . rename . sd_stressed . sensitivity . stress . stress_HARA_RM_w . stress_RM_mean_sd_w . stress_RM_w . stress_VaR . stress_VaR_ES . stress_mean . stress_mean_sd . stress_mean_sd_w . stress_mean_w . stress_moment . stress_prob . stress_user . stress_wass . summary.SWIM .
Some associated R codes: ES.R . SWIM.R . SWIMw_helper.R . VaR.R . cdf.R . cdf_multivariate.R . class.R . cor.R . credit_data.R . importance_rank.R . mean.R . plot_cdf.R . plot_hist.R . plot_quantile.R . plot_sensitivity.R . plot_weights.R . quantile.R . sd.R . sensitivity.R . stat_ecdf_weighted.R . stress.R . stress_HARA_RM.R . stress_RM.R . stress_RM_mean_std.R . stress_VaR.R . stress_VaR_ES.R . stress_mean.R . stress_mean_std.R . stress_moment.R . stress_prob.R . stress_user.R . summary.R . Full SWIM package functions and examples
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