[R-pkgs] New CRAN Release: SWIM

classic Classic list List threaded Threaded
1 message Options
Reply | Threaded
Open this post in threaded view

[R-pkgs] New CRAN Release: SWIM

Silvana Pesenti
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
[hidden email]

[hidden email] mailing list -- To UNSUBSCRIBE and more, see
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.