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: VaRpred VaRest

Macro: 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

Library: VaR
See also: VaRpred VaRest

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