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SyScSelection  

Systematic Scenario Selection for Stress Testing
View on CRAN: Click here


Download and install SyScSelection package within the R console
Install from CRAN:
install.packages("SyScSelection")

Install from Github:
library("remotes")
install_github("cran/SyScSelection")

Install by package version:
library("remotes")
install_version("SyScSelection", "1.0.2")



Attach the package and use:
library("SyScSelection")
Maintained by
Merlin Kopfmann
[Scholar Profile | Author Map]
First Published: 2020-06-30
Latest Update: 2020-10-26
Description:
Quasi-Monte-Carlo algorithm for systematic generation of shock scenarios from an arbitrary multivariate elliptical distribution. The algorithm selects a systematic mesh of arbitrary fineness that approximately evenly covers an isoprobability ellipsoid in d dimensions (Flood, Mark D. & Korenko, George G. (2013) <doi:10.1080/14697688.2014.926018>). This package is the 'R' analogy to the 'Matlab' code published by Flood & Korenko in above-mentioned paper.
How to cite:
Merlin Kopfmann (2020). SyScSelection: Systematic Scenario Selection for Stress Testing. R package version 1.0.2, https://cran.r-project.org/web/packages/SyScSelection. Accessed 29 Mar. 2025.
Previous versions and publish date:
1.0.1 (2020-06-30 11:50)
Other packages that cited SyScSelection R package
View SyScSelection citation profile
Other R packages that SyScSelection depends, imports, suggests or enhances
Complete documentation for SyScSelection
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