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Analysis of risk through liability matrices. Contains a Gibbs sampler for network reconstruction, where only row and column sums of the liabilities matrix as well as some other fixed entries are observed, following the methodology of Gandy&Veraart (2016) <doi:10.1287/mnsc.2016.2546>. It also incorporates models that use a power law distribution on the degree distribution.
| Version: | 0.4.3 |
| Imports: | lpSolve, Rcpp (≥ 0.11.2), stats, utils |
| LinkingTo: | Rcpp |
| Suggests: | coda, testthat, knitr |
| Published: | 2024-05-05 |
| DOI: | 10.32614/CRAN.package.systemicrisk |
| Author: | Axel Gandy [aut, cre], Luitgard A.M. Veraart [aut] |
| Maintainer: | Axel Gandy <a.gandy at imperial.ac.uk> |
| License: | GPL-3 |
| NeedsCompilation: | yes |
| Citation: | systemicrisk citation info |
| Materials: | NEWS |
| CRAN checks: | systemicrisk results |
| Reference manual: | systemicrisk.pdf |
| Vignettes: |
Example: Hierarchical Models Some Introductory Examples Non-square Matrices |
| Package source: | systemicrisk_0.4.3.tar.gz |
| Windows binaries: | r-devel: systemicrisk_0.4.3.zip, r-release: systemicrisk_0.4.3.zip, r-oldrel: systemicrisk_0.4.3.zip |
| macOS binaries: | r-release (arm64): systemicrisk_0.4.3.tgz, r-oldrel (arm64): systemicrisk_0.4.3.tgz, r-release (x86_64): systemicrisk_0.4.3.tgz, r-oldrel (x86_64): systemicrisk_0.4.3.tgz |
| Old sources: | systemicrisk archive |
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