| 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 | |