Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: VaR
See also: VaRest VaRdiagtable VaRgrdiag

Macro: VaRdiagplot
Description: produces calibration and discrimination plots which verify validity of probability forecasts.

Usage: VaRdiagplot(int,sig,real,g)
Input:
int mx2 matrix containing intervals in the rows.
sig nx1 vector of predicted standard deviations (assume normality)
real nx1 vector of realizations.
g scalar, number of grid points.

Example:
library("VaR")
x=read("kupfer")       ; time series
x=x[1:1001]  
y=diff(log(x))         ; returns
sig=VaRest(y)[,2]/qfn(0.99)   
y=y[251:1000] 
VaRdiagplot((-0.01~0.01),sig,y,10)
Result:

Library: VaR
See also: VaRest VaRdiagtable VaRgrdiag

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Zdenek Hlavka, 2000/07/13
(C) MD*TECH Method and Data Technologies, 17.8.2000