Timeline for Simulate random variables with "inner" and "outer" correlation
Current License: CC BY-SA 4.0
6 events
when toggle format | what | by | license | comment | |
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Dec 21, 2022 at 17:39 | vote | accept | Jesús A. Piñera | ||
Dec 21, 2022 at 17:39 | answer | added | Jesús A. Piñera | timeline score: 0 | |
Apr 29, 2021 at 21:55 | comment | added | Jesús A. Piñera | I am trying to simulate loss distributions for credit portfolios of different size. Each portfolio $j$ has $n_j$ credits, and each credit has an inner correlation (inside the portfolio) and outer correlation (with the rest of the portfolios). The final goal is to simulate the loss distributions with given inner and outer correlations. Hence, generate r.v.'s with such structure. | |
Apr 25, 2021 at 13:37 | comment | added | user225256 | This would be easier to answer with more description of the variables. Maybe the groups are teams and you’re looking at the correlation of offensive and defensive contributions? Right now I just see a jumble of subscripts and superscripts. | |
Mar 16, 2021 at 19:44 | comment | added | g g | Yes this will most likely not work and you will have to deal with positive definiteness as well. You should search for "hierarchical copulas" there is quite a literature on this topic. | |
Mar 16, 2021 at 19:08 | history | asked | Jesús A. Piñera | CC BY-SA 4.0 |