Systematic Scenario Selection for Stress Testing
Adds the next base-b element to an existing base-b sequence
Calculates the number of points in a mesh of fineness phi, covering a ...
Creates a new ellipsoid object equivalent to the given hyperellipsoid ...
Creates a phi x phi grid (i.e., the mesh on a single two-dimensional f...
Calculates the factor, beta in [0, 1], that interpolates the pth equid...
Systematically fills a given mesh array (cmesh) with d-dimensional poi...
Get hyperellipsoid property from the specified object and return the v...
Generates a Cartesian mesh of d-dimensional scenarios based on the giv...
Hyperellipsoid class constructor
Fills a mesh (corn_mesh) with d-dimensional points representing all co...
Fills a mesh with d-dimensional points representing all non-corner edg...
Constructs a new d-dimensional ellipsoid with the given "positive vert...
Fills a mesh with d-dimensional points representing all non-edge face ...
Creates a new base-b sequence of a designated length
Rotates the ellipsoid (hellip) so its principal axes align with the co...
Calculates the size paramater for a d-dimensional hyperellipsoid confo...
Calculates the size paramater for a d-dimensional hyperellipsoid confo...
Generates a Cartesian mesh of d-dimensional scenarios based on the giv...
Stretches the ellipsoid (hellip) to the unit spheroid of the same dime...
Applies the given linear transformation, tfm, to the given ellipsoid. ...
Calculates 2d d-dimensional univariate shocks (up and down in each of ...
Finds the d d-dimensional positive vertices for the given ellipsoid. A...
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.