SyScSelection
Systematic Scenario Selection for Stress Testing
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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.2 |
rolling source/ R- | SyScSelection_1.0.2.tar.gz |
17.8 KiB |
1.0.2 |
latest source/ R- | SyScSelection_1.0.2.tar.gz |
17.8 KiB |
1.0.2 |
2026-04-23 source/ R- | SyScSelection_1.0.2.tar.gz |
17.8 KiB |
1.0.2 |
2026-04-09 windows/windows R-4.5 | SyScSelection_1.0.2.zip |
83.9 KiB |