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M3a toolchain: R 4.x + jsonlite only, all stats hand-rolled

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Add R + jsonlite to SessionStart hook (minimal deps — no CRAN
statistical packages). Update M3a spec §3: GARCH, Heston, HMM, DCC,
copula, jump-diffusion, fBM all hand-rolled with base R primitives.
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Claude
2026-07-18 04:17:45 +00:00
parent e408409b77
commit 31b29cab32
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core/docs/plans/M3a-statistical-sims.md
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@@ -16,10 +16,11 @@ execution C5 (industry standard since 2001). Jump-diffusion C5 (Merton 1976). Pa
for crypto markets C1.
## 3. Language & location
TBD · `src/economy/sims/statistical/`. **R** — native statistical distribution ecosystem,
matrix operations, and time-series libraries (GARCH, ARIMA, HMM) without wrapping external
solvers. Fractional Brownian motion generation uses spectral methods (Hosking 1984, Wood & Chan
1994) or Cholesky decomposition of the covariance matrix.
**R 4.x** (apt `r-base-core`) · `src/economy/sims/statistical/`. Minimal dependencies:
`r-base-core` + `jsonlite` (Hub JSON protocol). All statistical models — GARCH, Heston SDE,
HMM, DCC, copula, jump-diffusion, fBM — are hand-rolled using base R primitives (`optim`,
`fft`, `arima`, matrix ops). No CRAN statistical packages. Fractional Brownian motion via
spectral methods (Hosking 1984 / Wood & Chan 1994) uses base R `fft()`.
## 4. Does / does-not
- **Does:** run Monte Carlo price simulations (GBM, Merton jump-diffusion, Heston stochastic