The *SWIM* (Sensitivity Weights for Importance Weights) package is released on CRAN: https://CRAN.R-project.org/package=SWIM.
The *SWIM* package provides weights on simulated scenarios from a stochastic model, such that stressed model components (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. Implemented constraints are stresses on the Vaule-at-Risk, Expected-Shortfall, moments and probability intervals. Visual tools such as plotting of the stressed empirical distribution function, histograms and sensitivity measures are provided. Consult the README for examples on GitHub: https://github.com/spesenti/SWIM Best regards, SWIM maintainer [[alternative HTML version deleted]] _______________________________________________ R-packages mailing list [email protected] https://stat.ethz.ch/mailman/listinfo/r-packages ______________________________________________ [email protected] mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
