SyScSelection

Quasi-Monte-Carlo algorithm for systematic generation of shock scenarios from an arbitrary multivariate elliptical distribution. The algorithm selects a systematic mesh of arbitrary fineness that approximately evenly covers an isoprobability ellipsoid in d dimensions.
(Flood, Mark D. & Korenko, George G. “Systematic Scenario Selection”, Office of Financial Research Working Paper #0005, 2013)

Installation:

install.packages("devtools")
library(devtools)
install_github("mvk222/SyScSelection")
library(SyScSelection)

Usage:

Example ellipsodial mesh for a normal distribution:

Example ellipsodial mesh for a t distribution: