Usage: |
b = VaRRatMigRate (counts, rho, s)
|
Input: |
| counts | d-1 x d x m array of counts of migrations, i.e.,
the (i,j)-th element of the k-th matrix contains the number
of migrations from state i to state j.
|
| rho | scalar, correlation coefficient for equicorrelation
|
| s | scalar, upper bound for the standard deviation of
the Monte Carlo estimator for beta
|
Output: |
| b.nstart | d-1 x 1 x m array containing the portfolio weights
before migration |
| b.nend | d x 1 x m array containing the portfolio weights
after migration |
| b.etp | d-1 x d x m array containing the estimated transition
probabilities |
| b.etv | d-1 x d-1 x m array of the estimated threshold
values |
| b.emc | d-1 x d x m array representing the estimated migration
correlations |
| b.esd | d-1 x d x m array representing the estimated standard
deviations |