Library: | VaR |
See also: | VaRpred VaRest |
Quantlet: | VaRauxsums | |
Description: | subroutine for VaRpred (with option sums), calculates the transformation matrix. |
Usage: | m2 = VaRauxsums(vc, w, h) | |
Input: | ||
vc | d x d variance matrix | |
w | 1 x d weights vector | |
h | scalar, the cutpoint | |
Output: | ||
m2 | m x d transformation matrix (it sums independent columns |