[R-pkgs] New CRAN Release: SWIM
@w|mp@ck@ge @end|ng |rom gm@||@com
Sat Jul 20 00:21:11 CEST 2019
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
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