# Performance Analytics internal multivariateMoments calculations

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## Performance Analytics internal multivariateMoments calculations

 All, I have carved on all methods in MultivariateMoments.R so I can all them directly I am working on the modified var calculations.  I ran the mVaR.MM on my data and the results were odd.  I reran setting skewness and kurtosis to 0 to compare with GVAR.MM.  Still questions.  I have the following example #test for sigfinance w = 1000000; Mean = 0.0001898251; Stdev = 0.01612464; ExKurtosis = 3.946156; Skewness = -0.1373454; GVaR = GVaR.MM(w,Mean,Stdev, .95) GVaR MVaR = mVaR.MM(w,Mean,Stdev, 0,0, .95); #shoud be equal to GVaR GVaR==MVaR MVaR mVaR.MM does not return the GVaR.MM.  I found the exkurt was not zero as I think it should be.  I remove the - 3 from that line and exkurt became zero and mVaR.MM == GVaR results.  I have included this modified version of mVaR.MM below and continued the test.  Is this an issue or am I missing something? #corrected exkurt calc mVaR.MM1 = function(w, mu, sigma, M3, M4, p ){    skew = skewness.MM(w,sigma,M3);    exkurt = kurtosis.MM(w,sigma,M4); #removed -3    z = qnorm(1-p);    zc = z + (1/6)*(z^2 -1)*skew    Zcf = zc + (1/24)*(z^3 - 3*z)*exkurt - (1/36)*(2*z^3 - 5*z)*skew^2;    return ( -multivariate_mean(w,mu) - Zcf*StdDev.MM(w,sigma)  ) } #call revised mVAR.MM with m3 and m4 equal 0 MVaR1 = mVaR.MM1(w,Mean,Stdev, 0,0, .95); #shoud be equal to GVaR GVaR==MVaR1 MVaR1 #with m3 and m4 not zero MVaR1 = mVaR.MM1(1, Mean, Stdev, Skewness, ExKurtosis, .95); MVaR1 MVaR1 = mVaR.MM1(w, Mean, Stdev, Skewness, ExKurtosis, .95); MVaR1 This result still looks strange and would appreciate any thoughts, with 1 or w weights, I get the same just scaled.  Note this is real commodity data with all statistics generated by table.Stats. Thanks Joe -- *Joe W. Byers*         [[alternative HTML version deleted]] _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance-- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.