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Add multivariate support for mcsim()

Open jaymon0703 opened this issue 6 years ago • 1 comments

@braverock suggested adding multivariate support for mcsim() which makes sense as the simulations are done using tsboot() from the boot package which is able to take univariate or multivariate time series.

Considerations:

  1. Backwards compatibility, so if we add another argument for uni or multi-variate, we should make univariate the default
  2. The helper and plotting functions (plot.mcsim, hist.mcsim, quantile.mcsim, summary.mcsim, print.mcsim) will need to be updated and carefully constructed, perhaps taking a variable for univariate or multivariate from the return slot in the main mcsim() function

jaymon0703 avatar Apr 27 '19 18:04 jaymon0703

hi @braverock can we close this issue? i think commit https://github.com/braverock/blotter/commit/d096b686d30bb63ebf0cbc2af7ef84b88b5c4820 would have closed this issue?

jaymon0703 avatar Sep 26 '19 19:09 jaymon0703